Commonly Changed Discord Settings
Content & Social

1. Direct Message spam
By default this is enabled. Filtered messages go to a separate tab called "message requests" and you will not be notified when they are sent to you.
DMs discord deems to be spam are placed in another tab within the "Message requests" tab, making them even more difficult to check.
If you choose to disable filtering, there will be no spam tab, and all suspected spam messages will go into your message requests.
2. Social Permissions
Here you can control whether or not you allow DMs from non-friends who you share a server with. This can be a global setting (as pictured) and/or controlled on an individual server basis.
If "Direct Messgaes" is disabled, non-friends you share a server with will not be able to DM you at all.
3. Message Requests
Similar to Direct message spam, allowing this will automatically filter allowed DMs from non-friends to the "message request" tab which will not notify you of their arrival.
Disabling this allows all DMs you allow to appear in your regular DMs and notify you as normal.
Data & Privacy

1. Use Discord activity to personalize Sponsored Content
If this is disabled, it essentially disables all quests and you won't see them anymore. Read what it actually does here.
Disabling this will also disable 2.
2. Use third-party data to personalized Sponsored Content
Essentially the same thing as 1, but uses data discord has received from outside the app.
3. Use data to personalize my Discord experience
Disabling this essentially prevents discord from using non-anonymized data from you. This is usually used for advertising and promotions (like Quests), but is also used for Discord-specific things you may actually want, like Discord Checkpoint or appearing in people's "frequent friends" lists.
Read what it actually does here.
Authorized Apps
These are apps and bots that have connected to your discord account. Deauthorize any that don't look familiar.
Devices
These are devices (such as computers, tablets, and phones) that are logged into your Discord account. If you see any you don't recognize, remove access using the "x" or hit the "log out all known devices" button and then change your Discord account password.
Connections
Here you can display other accounts on your Discord profile, such as reddit, twitter, youtube, and more.
Clips
People who stream can use a feature called Clips to record pieces of it. If you do not want your voice to be captured inside of those clips, you can disable the "Allow my voice to be recorded in Clips" setting here.
Accessibility
There are many options here to make Discord more accessible for those with color sensitivies or blindness.
But the most common settings changed here involves animations.

1. Role Colors
When people have a colored role, their name appears as this color. This is usually not an issue, unless the server has gradient roles enabled. Changing this will make the gradients more tolerable.
2. Display Name Styles
Some nitro users have special name fonts or colors. Disabling this will make those names appear normal.
3. Stickers
For some reason, stickers are separated from the other animation options. If you want to control how sticker animations behave, change this option.

Reduced Motion
When enabled, this automatically turns off most animations, such as: profile effects, emoji, stickers, gifs, role color gradients...
Automatically play GIFs when Discord is focused
If this is ON, GIFs will play and loop for as long as you're looking at Discord.
If this is OFF, GIFs will only play when your mouse hovers over them.
Play animated emojis
Same as above. Will also prevent Super Reactions from animating when disabled.
Chat
Here are several settings to display regular images automatically or only their links.
But the most common setting changed here is near the bottom:

Open threads in split view
If this is ON, clicking on a thread will open it in a sidebar. In order to view it in the full window, you will have to click on it again. This also applies to forum channels.
If this is OFF, all threads and forum posts will open in the full window by default.
Notifications
Control how annoying Discord is when you get notifications.
You can disable unread message badges, taskbar flashing, and notifications for voice activity, stream activity, and reactions on your posts.
You can disable notification sounds individually.
And at the very bottom of the page, you can disable email notifications.
Activity Privacy
When you play games or activities in Discord, this is shown in your status, near your friends list, and in some servers under a "recent activities" tab.
If you don't want your activity to be shared, you can change the settings here. They can apply globally or only in certain servers.
Commonly Changed Settings on a Per-server Basis
Right click on the server icon and select "Notification Settings"

Here, you can choose what you would like to be notified of and what you would like to ignore.
I am obligated to say please don't ignore @everyone in BentoVid. We rarely use it.
Hide Muted Channels
You can mute individual channels in a server by right-clicking them and selecting "mute".
If you want to always hide the muted channels from the channel list, check this box.
Privacy Settings

These are all the privacy settings mentioned above, but are specific to particular servers.
Here you can have different settings from your defaults, if you trust one server's members over others, or, the inverse where you really don't trust a particular server.
The Inbox
This is not a setting, but it is a feature that is commonly overlooked.
On mobile, it will appear as the @ symbol near the bottom of the page where you set your status.
On desktop, it is a small box in the top right hand corner.

Clicking "mentions" will show you all of your pings.

In the top right of the inbox, you will see the filter icon. Clicking this allows you to filter the notifications (pictured above).
If you ever got a ping and couldn't find where it came from, check your inbox.
Additionally, there is a person icon to the right of the filter icon. This informs you of your incoming friend requests.