Features are both a blessing and a curse. Use them carefully and they work great. Do just one bitty little thing wrong and they bite you - badly. So I have only two small things to share today.
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Including whole menus in your features work great, but including separate menu links in different features will royally bugger up your menu structure.
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When you recreate a feature and copy it to it's directory under the modules, be sure to first delete all the files that are there. If you've taken anything out of a feature a certain file might not be generated any more and just copying the new files into the directory will leave an old unused file there, confusing you to no end. The file will show that you've not taken the item out causing you to go into an infinite loop of trying to get rid of that item.
Happy featuring.