I had one at 33 weeks and one at 36 weeks. My 36 weeker was fine and could come home from the hospital right away, but was a little jaundiced, very sleepy, and had trouble nursing. I would have liked to know the tricks to get her a little more alert to help her nurse and that it was important to wake her to feed her (her sleepiness would make her sleep at times she should have been eating). I would encourage new moms to get in touch with a GOOD lc and get a breast pump immediately.
My 33 weeker needed to be in the hospital for 23 days as mostly a feeder and grower. I wish I had spent more time in the NICU getting her to nurse rather than giving in to bottle feeding (even though it was breastmilk). The transition from bottle to breast was tough for her, it took 3 months. I would have liked to know in a non-scary way about a's and b's and the carseat test (which she failed twice before passing) and that I could ask them to test her without me there, since it was so emotional for me. I'm sure I could think of more, but my former 33 weeker and now 4.5 year old needs to get into bed!

I'll try to come back with more when we're both not so tired.