Start out slow. When you're first building up distance it can be a good idea to alternate between running and walking. It's easy to burn out if you get in the habit of running as hard as you can every time, so take it easy. Also pay attention to form and avoid heel-striking especially.

Personally it's the best antidepressant that I know of. I've found that it's a good way to "burn off" anxiety, if that's something you also deal with.