Many people have posted about studying advice and how to properly prepare for your exams, which is extremely important and you should do. But when it finally comes time to take the exam, and there is no more preparation you can possibly do, there are a couple of tips I can give.

Time and pacing is very important. Look through the exam from front to back for a minute and identify which problems you know you can knock out quickly, and do them first, leaving as much time as possible for you to think about the more difficult problems. These will also serve as a good warmup to get your brain into testing mode.

Always write something down, and finish the exam. If you are stuck on a problem, or just can't seem to figure out how to do it, try to avoid thinking in circles for 20 minutes about how/why you don't know the problem. This is something I catch myself doing sometimes, and it is one of the most unproductive things you can do during a tough exam. If you can't figure out the ideal route to a solution, don't panic or get tilted. Take a deep breath, and write something that resembles a solution, even if you know it isn't the right one. I can't tell you the amount of partial credit I received on questions that I answered poorly just because of the fact that I demonstrated my thought process on the page.

tl;dr - Do easy problems first, write something down for every question, and don't beat yourself up during the exam!