Firstly, you can take out sentries pretty easily with your nailgun. Just manoeuvre yourself close to the sentry where you can see a bit of it but it can't see you then let rip with your nailgun. You can see you are doing it damage as it flashes. You can take it out in a few seconds then carry on in or out. Also, you shouldn't forget your grenades. Concussion grenades are very useful in making sure a guarding soldier or HWGuy cannot shoot striaght, and caltrops are essential in slowing any persuer who may be kind of peeved that you're merrily running off with their flag.

Secondly, remember you have the skill to unmask spys. This is very useful when your def is struggling to keep hold of a dropped flag - a demoman may have it guarded with pipes but a spy can easily run in and grab it if the demoman is unwary. If there is anyone behaving suspiciously around your flag or sentries just bump into them. Any spy will be unmasked and your team mates will thank you for it. It may be useful to tell them what your up to though, as your behavior may cause confusion or suspicion.

Lastly, you can disarm detpacks just by running over them. This is more of a hindrance then a particularly useful skill though it will annoy the hell out of any demoman who's detpack you disarm. This can be great fun in a map like Canalzone, where a demoman manages to make his way into your flag room (a heck of a hard thing to do) and plants a detpack. In you come, and run over that explosive monstrosity and take all the wind out of his sails. Prepare to be abused on the console though.