Do not, under any circumstances, tell them to, "Ignore it and don't make a fuss" when it comes to bullies and people putting them down. Model, and teach them how to, stand up for themselves. Please don't let them be doormats and constant people pleasers, because trying to live life to suit other people is exhausting, and it will make them very unhappy!
Avoid gender roles as much as possible though, unfortunately, this may be undone at school. I have had arguments with Reception children as to why girls can like blue, and on being asked to send "two strong boys" to help, I sent two strong girls instead.
Teach them that there is more to life than conforming to peer pressure. Let them have their wild individuality!
Ask them for their advice and opinions, and allow them to say, "No". It might be hard work when a five-year-old is refusing to put their shoes on, but it will help when they're older and fending off bullies/unwelcome advances when they're out in bars as older teens.
Listen to them when they are telling you that they have a problem. Please don't tell them to stop moaning or to keep it to themselves, as it encourages them to bottle it up. Hopefully, they will realise that they can always come to you with anything, and they will know that if they do have a problem, you'll be there to help them to come up with a solution and to have their back, no matter what.
Praise them when they've done well. I find that, in the UK at least, we are too quick to criticise, and never fast enough to praise!
Finally, just love them for who they are, not who they could be if only they did XYZ. Make it known to them that they are the most special people in your world!
P.S. A picture book that I LOVE is called, "The Worst Princess". The princess is told that she's only there to look pretty for Prince Charming, which she finds very boring. She goes to live with a dragon instead, and has much more of an interesting time!