You put that neat new option in your .vimrc, but when you restart Vim, there's no effect! What's up?
Probably, the .vimrc you are editing is not the one that Vim is loading on startup. Execute the command :scriptnames to find out what scripts have been loaded, and from where. Make sure the .vimrc appearing there is the one you are changing. For more information on how Vim finds a .vimrc, read :help .vimrc.
Certain the correct .vimrc is being read, and it still doesn't work? Read on!
If your problem is a particular setting (eg tabstop), do :verbose set [option]? to find out what the current value is and where where that value was last set from. Modelines and scripts which run after .vimrc can trip you up in this way.
If the problem setting isn't an option, it is a little more difficult to determine where the setting is coming from. You can try starting Vim with the --noplugin command-line argument to narrow down the search. If you still have problems, start Vim with --noplugin -D to step through all the startup scripts (this can be tedious). If you are running a GUI version, debugging only starts after the GUI is up. Put a gui command in your .vimrc to fix this; it will start the debugging right after that command, and let you step through .vimrc.