I have had a number of really great DMs over the years, and I have tried (and I like to think, largely failed) to incorporate the things I liked the best about each of their styles into my own game. Allow your players to feel in control of their own destinies, try to say yes, keep the action taught, be mysterious, but generous with information, reward cleverness, and when necessary, reward not-so-cleverness. Whether I succeed or fail, I am always trying.
What are some of the best traits you have observed in your DMs during your time playing D&D, Ars Magica, Storyteller, or whatever your choice of gaming goodness is? What things have you liked and tried to add to your own game? What makes a great DM?