No, we're not talking sprites and pixies and dryads.
No, we're not talking kelpies and redcaps.
This is about the fey nobles. They are powerful, and aloof, and arrogant. They are also generally considered to be fickle and random. This is not true; fey nobles follow unwavering rules and protocols. The problem is that these are complicated, and vary from fey court to fey court, to the point where their actions and decisions may seem random.
Some general guidelines for dealing with fey:
1) Be scrupulously polite. If you're dealing with one of the "light" courts, this should be good enough on its own to get you out without too much harm. If you're dealing with one of the "dark" courts, being polite will at least not make things worse.
2) Have a chunk of cold iron on you - preferably touching your skin, and preferably not visible. This will afford you some protection against their ambient enchantments without directly insulting the fey. Do not rely on this to defend you from the direct wrath of a fey, however - at least not unless you're really good at running.
3) Do not accept gifts; nothing is ever free, and most fey are capable of compelling whatever they feel is an appropriate price. Exceptions are when you are not given the opportunity to turn down a 'gift' - for example, if a fey noble tells you its name when you did not ask for it, this is unlikely to grant the fey any power over you.
3a) Always phrase questions with one layer of indirection. For example, "What is your name?" is a dangerous question to ask, while "Might I ask your name?" or "What may I call you?" are probably safe.
4) There are always exceptions to the above guidelines, especially when dealing with the more dangerous "dark" courts.