Do: haggle! Most sellers will reduce their prices, especially if you are buying several items.
Don't: be pressurised into buying something you don't like, look at different stalls and see if they have something better.
The nearest tube station is Shepherd's Bush (Hammersmith and City Line), or Goldhawk Road, which will bring you to the other end of the market. You can also use the Shepherd's Bush (Central Line) station, but this means you'll have to walk about 10 minutes.
Click here for TfL's Journey Planner, and click here to find it on Streetmap.