This tip only applies to GIMP 2.8 and newer versions. It is a result of the large UI refactor done for GIMP 2.8 and was probably the most anticipated feature.
When you first install GIMP the UI is all separate windows, and this can be useful for some people, specifically people who work in a multi screen environment, but for the normal user it is rather difficult to work with.
The new Single Window Mode makes the toolbox and all of the docks part of the main window, and enables the tabbed mode for images. This works, and looks a lot cleaner for most applications.
To enable it simply go to the Windows menu in GIMP and enable single window mode.