Injuries
Injuries are inevitable for any endurance athlete. One advantage of being a triathlete is that injuries are normally specialized enough so that you can continue to train in one or two of the sports even when you are resting injury. I have found it good to stress soft tissue injuries (that is, during recovery to exercise the area and then ice it down, progressively working the area harder and harder). The sports literature has much helpful advice on how to prevent and deal with injuries. I have managed almost all my injuries by myself except for my ankle problems, for which I use orthotics. If you need to see a doctor, see one that specializes in sports medicine.
Try a knee brace from the drug store for knee pain; it likely will save you thousands of dollars in medical bills and do just as well
Ice all injuries as frequently as possible until they are resolved; use bag of frozen peas, ice packs or (for heel/ankle injuries) ice in your socks
The only problem with ice in your socks is that you will track water around the house, so avoid this recommendation if you want to stay married (see other advice on staying married in next section)
All injuries should be rested. Stress fractures and serious muscle and tendon tears require prolonged rest; other muscle and tendon injuries such as tendonitis and sprains, require brief rest followed by progressive renewal of training (all the while with regular icing, especially after a workout).
Tape injured ankles with athletic tape and cover with duct tape so it will not come off during the swim
For plantar faciitis, tape around the instep to stabilize the foot. Start at the top of the foot and tape underneath and over the top, perpendicular to the way the toes are pointing. Tape should be snug but not tight. I suggest you leave the tape on all the time until your problem resolves (for me, less than a week is typical).
For strained muscles or tendonitis on the outside of the leg, step back with one leg, go down on that knee and push outward on the knee that is up. This stretching is a must for prevention of common injuries but is just now recommended in common stretching regimes.
Do deep knee bends (work up to 30-40) with your weight on your heels for a sore lower back. Don't go all the way down or you will injure your knees.
Wash road rash from bike accidents as soon as possible with soap; apply antibiotic ointment; best not to bandage as the scab will stick to the bandage
Falls while biking are inevitable, but should be less frequent as you become more experienced with different road and traffic conditions and bike handling. A typical fall results in a skinned elbow and thigh (and sometimes the knee). Hitting your head is not unusual, so a helmet is a must at all times, even for very short rides.
Improve your stroke technique if you have a sore shoulder from swimming
I've found consciously thinking about leading arm recovery from the shoulder deals with one source of shoulder pain
Consider massage for areas where movement is constrained due to scar tissue, and as a way to promote healing.
Active Release Therapy is a specific type of massage offered by specially trained chiropractors. It focuses massage on a very specific area of tendon or muscle to provide relief from soreness and scar tissue. I have found it provides relief and increased flexibility.