The more the patina an item has (i.e. the rustier it is), the more desirable it is. After all, every pock mark tells a story. Don't be afraid to mix metals or patinas.
Don't overdo it. You can achieve the industrial vintage look with a single statement piece (e.g. a cool lamp, an oversized piece of vintage art). The contrast between a "found" item and more contemporary accessories can be quite striking.
Look for large pieces that incorporate both metal and wood for the ultimate vintage score.
Above: paint ("Manitou Blue" P2136-02), Para Paints; vintage rolling rack, locker baskets, articulating light and shoe lasts, Smash; glass shelving (on rack), Adanac Glass Limited; ceramic hand, HomeSense; vintage tricycle, ceramic piggy bank and small artwork (on rack), Andrika's own; artwork (on wall), Dave Trautrimas at Art Interiors.