1 -Avoid stress. Unfortunately, stress causes cortisol and other 'bad' hormones which stimulate DHT production (simply put). DHT is the hormone which, on your scalp, is directly responsible most types of hair loss (the most common, for both men and women); people who suffer from hair loss are particular susceptible to DHT 'destruction' on certain parts of the scalp, mostly on all the top, frontal and side areas of the scalp. Relaxation techniques will be really important if you want to keep a healthy head of hair.
2 - Supplements. Take a good amount of anti-oxidant vitamins (C, A and green tea extracts), then Vitamin D and Vitamins of the B family. Also, make sure you take good amounts of potassium and iron (the latter especially if you are a pre-menopausal woman). Some say that eating a good amount of protein (especially from free-range eggs, fish and organic milk - avoid meat protein) is very important because hair is made of keratin, which belongs to the 'family' of proteins. You can also take proteins from a variety of 'vegan' sources, but avoid red meats in any case.
3 - Avoid smoking, alcohol, soda drinks (with sugar or with sweeteners) and caffeine (from coffee or black teas). Green tea is actually good for your hair, it has mild DHT-blocking properties.
4 - Exercise daily. Not only is it good for the whole of your body, but also it increases blood flow (including essential blood flow to your scalp) and, by sweating, you will clean out and unclog your hair pores (this is very important).
5 - Don't damage your hair follicles with harsh treatments. Excessive hair pulling, hair bleaching, hair styling and so on will put unnecessary stress on your hair follicle.
6 - Use a DHT-blocker. Most hair thinning is due to the damaging effects of the hormone dihydrotestosterone (DHT), to which hair loss sufferers are particularly 'sensitive' (especially on some areas of the scalp). Decreasing DHT can be achieved by taking prescription medicine such as Propecia or by purchasing over-the-counter products or natural supplements: whether it's a tablet to ingest or a topical lotion (or oil) to apply directly to your scalp, make sure it contains proven anti-DHT properties. Here you need to exercise caution: there are so many products being flaunted online that are, according to them, miraculous. Some even dare to say that they have DHT-blocking properties. Before you rush to buy into these dubious products, please check the list of ingredients (if they don't list them, don't buy the product!) and research each ingredient, making sure that at least some of them have proven DHT-blocking properties (Wikipedia is very good for such simple checks).
Otherwise you're wasting time and money. My favorite anti-DHT shampoo, which I use every other day (and you can find any most pharmacies), is Nizoral 2%, although it's not ideal for everybody. There are many other choices you can successfully go for without falling into the trap of those ridiculous products being 'hard-sold' over the Internet. Remember, if their claims are 'grandiose' and they're selling their product on every other page on the Internet (some have even set up fake review sites to push their products): it's a typical 'Internet trap' that you need to stay away from to save money and precious hair-life time.
