For me, the biggest key was getting buy-in from my supervisor. It can be tough to try and have some sort of Sprint only to have it interupted multiple times (Supposedly XP teams handle this better, but I don't think any developer does.). Also, don't forget to include either power users (they could be testers) or members of other departments that could be used as Product Owners. I like to sit with other users and do a type of paired programming (OK they don't code) where I can ask questions while coding and do quick demos to get feedback. This helps when I'm struggling to create specs because those requesting the app are having a hard time telling me what they want.
