The most impotant thing to remember when being towed?

Yes, turn the key enough to make sure the steering lock doesn’t come on whilst turning a corner, as is neatly demonstrated in the following video (language is not safe for work) :
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Bad Towing Fail – Watch more Funny Videos

It doesn’t help, of course, if the person towing you is a speed freak lunatic who is only just keeping his own vehicle on the road.