User modes (umodes) are set with the MODE command, in most clients either "/umode +i" or "/mode mynick +i". Here is a list of the ones which are available for general use:
This prevents you from appearing in global WHO/WHOIS by normal users, and hides which channels you are on. It is strongly recommended that you set this umode.
This umode lets you see the wallops announcement system. Important network messages will be sent out via global notices; this is only for individual channel announcements and anything else the network staff feel like saying to the world in general ("moo!").
This umode prevents anybody from inviting you to a channel. It effectively limits you to public channels or to those you are on the invex lists for. (It can safely be used to block somebody who is invite flooding)
This umode prevents people who have not identified with nickserv from sending you private messages (they will be told their messages are bouncing).
This umode prevents you from receiving CTCP messages or sending CTCP replies. This will stop anybody from CTCP flooding you. Note that this only affects CTCP messages/replies to/from *you*; it won't stop you receiving channel CTCP, although it will block your response to them.
Note that this will interfere with CTCP ACTION messages (/me), so it is not recommended it be used unless absolutely necessary.