On my last startup venture I went to one-week sprints, where I delivered something each week. This helped out a lot, as it made me prioritize and triage.

But I think having an active customer base and a team to report to are just as important. I find I have a tendency to prioritize whiz-bang stuff -- stuff I'd like to code, instead of stuff the users actually need. Actually, when you get right down to it, users really need very little functionality. As programmers we end up putting it in there simply because we can. It's fun. We think everybody else is a power user because well, we're one.