It's hard to pull any kind of antic in a small town if you don't want everyone knowing about it by the morning. Believe me. Even the people you don't know are probably good friends with everyone you have ever met. It soemtimes makes it kind of hard to get away with... well, yeah, anything.
Here are a few things you should especially try to be careful with:
1) Online Dating
Some people still try to use websites like RSVP when they live in places where everybody already knows everybody else. Places like Newcastle. I know, because I tried it once. To be honest, I wasn't really looking for a relationship at the time, I was just kinda curious about the whole thing. As it turned out there were actually quite a few local profiles on there and I even started chatting to one guy. I thought he seemed nice, but then I asked him what he did for a living. It turned out we worked for the same people. In the same location. It could happen to you.
2) Repeating Gossip
Yes, people do this even more than usual in smaller towns. It's unavoidable. The problem is that they really shouldn't, because you never know who can hear you. I remember once I was waiting for a friend of mine at a cafe. There were two girls chatting nearby and even though I wasn't intentionally eavesdropping, I couldn't help but hear what they were saying. Because they were talking about me. They could see me perfectly well - the problem was that they didn't realise it was me they were talking about. They were telling a story about something I had done, not knowing that I was sitting a mere couple of metres away from them. I responded by feeling incredibly awkward and deciding to wait for my friend outside.
Cheating is a strangely powerful thing in relationships. Some people don't see it as a big deal, but others view it as some kind of dating apocalypse. It is strange to then see the things some people think they can get away with.
The bass player of the band I was in was just One Of Those Guys. When we would go touring he had this thing of saying "Not my state!", "Not my country!" or "Not my postcode!" depending on our current location. The implication was that he thought being in a different postcode meant he could cheat on his girlfriend and not feel bad about it. Someone really should have told him that this doesn't work quite so well if your girlfriend is in your band, something I found out about the most awkward way possible. I had joined only recently and we were on tour. He had drunkenly come on to me before we'd left and I'd told him I thought it was a bad idea. In an attempt to bond with the only other girl in the band, I mentioned this to her over a drink.
"Has he ever hit on you?" I asked.
"Actually, we've been going out for two years," was the reply I received.
Kind of awkward, yeah. Although, admittedly that is not so much a small town thing as a 'Don't cheat on your girlfriend who is in your band with the new girl you have hired to be in your band' thing. I think that's good advice regardless of where you live.