1. Donald Trump clearly underperformed his poll numbers. Some have suggested that he was hurt by skipping the debate last week, but it's more likely that polls systematically overestimate his support, especially in low-turnout, organization-dependent caucus states. (And don't be misled by all the talk about record turnout—in comparative terms, the participation rate in the caucus was still much lower than in most primaries.)
2. The evangelical-vs.-non-evangelical divide was somewhat overstated going into Iowa. Cruz benefited from the evangelical vote, but did not win it overwhelmingly. Similarly, he was not as dominant in the western, Steve King-represented section of the state as expected, but made up for it by running surprisingly strongly in the eastern cities and suburbs.
3. Ethanol is no longer the "third rail" of Iowa politics. My guess is that American politics has become strongly nationalized in the era of the Internet, national media, and partisan polarization, reducing the electoral importance of parochial interests.
4. Rubio was smart to declare victory after running a close third, and will benefit in the national media from the perception that he's best positioned to actually win the nomination. The unresolved question is whether he gets a bigger media bounce from coming in third than Cruz does from placing first—particularly in the conservative media that most Republican primary voters consume. If so, he could be well-positioned in New Hampshire to consolidate much of the non-Trump vote.
5. There really isn't a "Paul wing" of the Republican Party. Ron Paul won 10% in Iowa in 2008 and 21% in 2012, suggesting that there was a significant bloc of libertarian-minded, non-interventionist Republicans that might become established as an enduring faction within the GOP. Rand Paul, though a senator, only got 4% this time.
6. Bernie Sanders is a very talented politician with an attractive message and manner in the eyes of many Democratic activists and voters. Though his chances of actually winning the nomination remain quite remote, it's very surprising in retrospect that he did not seek a national political profile before this election.