Over the past few months I've been thinking of some thoughts on proper twitter etiquette, as well as proper etiquette of other technology.
If you are running a personal twitter, the only real etiquette is your personal preference, although if someone you know follows you and you don't follow them back, you should probably have a good reason.
If you are running a ministry or business twitter, I'd suggest you follow almost everyone. On our ministry twitter we choose to do this.
Don't set up an automatic direct message (DM) on your twitter account, because this makes your twitter impersonable.
If you are adding someone as a friend and they might not know you, it might be good to send a message explaining where you know each other from. If the person is famous, you probably don't need to do this.
When people comment on your status or write on your wall, especially with something that appropriates a reply, you should reply. This way you build relationships and show that you care.
When people email you (or call), you should probably have a time management technique in place in your life to be sure you get back to them. I try to email back right away or keep it in sight so I continually see it until I do. Another idea would be to write down on a post it note or to do list who you need to remember to correspond with. With phone calls I have it easy via the iPhone to leave my Visual Voicemail messages undeleted until I return the call.
Hope this helps.