Opposition, Not Obstruction
I agree with Matt, the Democrats have to keep their powder dry as far as pulling out all the stops in blocking Bush. They need to register their opposition as much as possible, but they shouldn't rely on parliamentary procedures such as filibusters except in the rare cases where they need to block Bush from doing the greatest long term damage. Supreme Court nominations are obvious candidates for this. Also blocking any serious gutting of Social Security.
Beyond that, the Democrats are just going to have to "allow" the Republicans to have their way for the next two years. It sucks, but it is the political reality we live in. Doing anything else will just make it that much harder for Democrats to win back power in the long run.