As a pyro, it is YOUR SWORN DUTY to spy check a lot, especially near engineer's buildings.
The compression blast is great for blocking projectiles, trust me, but have a dispenser nearby.
The backburner loses as it gains. You lose compression blast and yet you gain the power to burn people from behind better.
Don't forget, compression blast DOES EXTINGUISH FIRE ON OTHER PLAYERS.
As a medic, always be on the lookout for a "MEDIC!" bubble that is on fire, this means that the person is on fire and needs help.
With the Spy, patients is key. Walk along side of walls to not bump into enemy players and alert them that you're a spy. If you want to get behind enemies without them noticing most of the time, jump a backwards to the closest spawn point (Like you're going to refill your ammo/heal/metal). This works 70% of the time and your chances increase if your disguised as the Engie. It also helps if your team is shooting in your general direction. OrangeX3 is a good place to do this. Use invisiblity wisely.
With the Sniper,
KEEP MOVING. Standing still makes you an easier target for other snipers.
Use the Scout to make flag runs, get control points, and other hit-and-run jobs.
With the Engie, you have to watch your surrondings. If there aren't many enemies near by, build a dispencer so that you don't have to keep running back to get metal. If you're in a "danger zone", build a turret and get it to level 2. Then build a dispencer. After building a level 3 turret and dispencer, have your shotgun on the quick weapon switch key. Shoot anyone that starts to get close to your buildings.