Punctuation can be a difficult matter, and probably the most common punctuation mistake I see involves conjunctive adverbs.
What's a conjunctive adverb, you ask? Conjunctive adverbs are conjunctions--hence, conjunctive--that often join two independent clauses. They are more sophisticated than conjunctions such as and and or. Conjunctive adverbs show the relationship between independent clauses--cause and effect, contrast, similarity, and so on. Examples include therefore, moreover, and however, as well as indeed, likewise, and nevertheless.
Here's the rule that I see broken more times than not: When a conjunctive adverb joins two independent clauses, a semi-colon, not a comma, must end the first independent clause; then, a comma must follow the conjunctive adverb. Here is an example, properly punctuated:
We included a proxy variable for gender; indeed, that proxy variable will prove to be the most significant.
How do you know that you're dealing with a conjunctive adverb? Perhaps a good way is to ask yourself if the word can appear elsewhere in the sentence. If the answer is yes, then you are probably dealing with a conjunctive adverb. In the example right above, for instance, the word indeed could have appeared elsewhere. Here is one example:
We included a proxy variable for gender; that proxy variable indeed will prove to be the most significant.
Remember: When a conjunctive adverb joins two independent clauses, the first clause must end with a semi-colon, not a comma; otherwise (otherwise being a conjunctive adverb, by the way), your sentence will have a comma splice.