Summarizing the proof's idea or the principle behind it in a few words before digging into the proof it's always a good idea.
Tell people what's obvious (maybe special cases) and what is hard (at least what you have found hard).
Even if you are only sketching a proof, everything you decide to write on the blackboard has to be true and has to be precise (the audience shouldn't fill the gaps in your statements) modulo a few globally, obvious, implicit things.
It's OK to encapsulate a proof step in a proposition because it's too hard to prove it live, but in that case it should be remarked.
What is the mathematical technology that comes into the proof, who invented it?
Explain us if there are assumptions or properties which are false-friends: they seem to be obvious but are used in a non-obvious way
If you spent a lot of time to understand a step or the role of something, it's better to break it down for the audience even if it seems obvious to you now. Tell us those little, time-saving things that you want somebody had told you before you started studying that proof.
If you draw a picture, make it clear what it represents: is it our problem in one dimension less? Is it a different problem which has a similar solution? Is it an handle decomposition (in what dimension)? Is it just a schematic picture (no specific formalism involved)?
If you use a result or definition that has been introduced in another talk, than say so, it helps people recognizing it as something familiar.
It's often a good idea after you finish a multistep proof to summarize it verbally again.
Where did you use the assumptions of the thesis?
It's good to provide examples of applications and also examples of non-applications.
Give us references.
Help us examiners to understand how deep you studied.