Depending on what sort of music you play, open with the song that best shows what you're playing. Unless you're playing soft rock, that usually means opening with a high energy song: something to get the crowd moving with you. Close with a similar number. The first impression is what makes your audience enjoy the show, and your last impression is what makes them want to see you again.
Speaking of energy, make sure you look like you're enjoying yourself. I've noticed this is a problem with people transitioning from the woodshed to gigs. Try not to shoegaze, and if you can make brief eye contact with the audience. If you're having fun, it encourages the audience to have fun.
If you make a mistake, ride it out. Only catastrophic failure, like the singer catching on fire, should warrant a total shutdown.