Of course we know we could all learn something from The Bard, but it doesn't hurt to have the occasional reminder: 10 Things Shakespeare Can Teach Us About Writing Thrillers.
Get right to it: Shakespeare doesn't waste time getting things moving. Any book should do the same.
Story is character: In the bard's world, the props and costumes are kept to a minimum. The plays can be performed on a bare stage. It's ll about the interaction between character and how the characters speak.
Begin scenes late and end them early.
All scenes must have external and internal conflict: It's not enough for the door to be locked. The character has to have a reason to not want to open it.
Shakespeare was all about output: You want to learn from Shakespeare? Write a ton of stuff. (The article mentions this and I've heard it pointed out elsewhere - the entire Shakespearean era was only twenty years.)
Do check it out - it's a short read, but has lots of valuable writing advice.