As I'm currently working on a 48000 * 24000 world map, I think the single biggest lesson I've learned is not to start big. When you start with a large map (a really large one) you run into a few very big issues.
1. It's hard to keep track of the overall shape of your world. This is particularly problematic with coasts.
2. It's basically impossible to make quick revisions when your world is being done large from the ground up.
3. Most importantly, you will get fatigued and burned out when you're spending hours just trying to draw the coasts or pick out deserts or what have you.
I've found that the way to go is to start smaller. Maybe a few thousand by a few thousand pixels. Do a complete world map. You won't have much detail, but you'll be able to get one done, and figure out the overall climates and ethnic groups and what have you. You'll be able to identify, earlier on, what kinds of problems you have with it and what you want to change. Most importantly you'll have something nice to look at and think about from the start, so even when you're doing the next size up, you won't be rushing to see what it looks like and possibly making poor, sloppy decisions.
In other words, go up in size in stages.
Regarding projections, generally speaking once I have an initial draft done (I favour equirectangular, personally) I'll load it up into NASA's G.projector and use one of the polar projections (specifically, Orthographic centered on 90 or -90 degrees North) to get a circular map of the north and south poles.
I'll then pop those back into photoshop, note the problematic distortions that will invariably have arisen, and do a sketch over on a new layer, how I actually want the land and water on and around the poles to look. I then select the entire image (so that the next step works properly) and do a Polar to Rectangular distort on the sketch layer.
I can then take this and use it as a guide for how the polar regions should actually look on the equirectangular map when the time comes to do my next size up. Generally, for a square image (such as the polar sketch image) to a rectangular image (such as the equirectangular main map) the polar sketch will need to be stretched all the way across the map, but only halfway down. This will fit it properly. One may also need to include a plain white layer with it so that your selection is properly sized; if it just sticks to the sketch you're liable to have some inaccuracies.
You can then draw polar regions in an equirectangular map that actually look how they should.
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