You can always try bracketing. That means it'll take several of the same shot at different exposures and then you can pick the one you like (of course, if your subject moves they won't all be the same shot).
In addition to having your camera with you all the time and taking lots and lots of photos, you will probably find over time that there is a particular style that you are most comfortable with. I rarely use long lenses for dog shots. I prefer a normal lens (50mm or equivalent) because it has a perspective similar to what I see with my eyes, and because that's what's on the camera I started seriously taking photos with. My shots tend to be fairly static -- I take very few action shots. I take very few shots altogether, even when I am using a digital camera, I tend to shoot the way I do with film: look, put the camera up to my eye, compose, shoot, put the camera down. I almost never have the camera in continuous shooting mode, and rarely fill up a memory card. I don't own a lens longer than 200m, mostly because I hate lugging camera equipment around with me and prefer for my gear to be small and light and fit in a very compact camera bag.
Therefore, I have almost no photos of my dogs catching balls midair, and I suck at taking dramatic long shots of dogs at sheepdog trials. My sheepdog trial photos look more like this:

Bev Lambert and Pippa, USBCHA Finals 2006, Klamath Falls, OR. Nikon D70s, 55-200mm AF-S DX kit lens (slow, cheapo zoom lens)

Bev sends Pippa "come bye" at the USBCHA Finals, 2006 (this was the last run of the day, and what most spectators thought was the winning run).

Ray Edwards judging Bev Lambert at the 2006 USBHCA Finals. Nikon D70s, 18-70mm AF-S DX kit lens
But that's OK with me. I think different types of photos have different things to offer; actually, of these three I'm proudest of the last one, even though there are no dogs or sheep anywhere in it (except perhaps as tiny little dots in the distance). It tells a story that most sheepdog trial photos don't tell.
My photos of my own dogs are even more static, especially since Solo is so good at posing. It is possible to take action shots with manual film cameras (that's what the news photographers had to work with for many, many years after all), but action just isn't my thing. Sometimes I see a shot and can set it up ahead of time, and then I'll get a photo of Solo in motion:

Leica M3, Summicron 50/2, Kodak Tri-X 400 black and white film. I prefocused on the light falling across the path, called Solo, and took the shot when he passed through the light spot.
But I think the static photos and portraits of Solo capture his personality better.

This was on the second or third roll I put through my Leica. Solo in Zamora enjoying a cool breeze.

Rolleiflex 2.8F, Tri-X 400. Solo on the beach, Fort Funston, San Francisco.
Just go out and shoot. You never know what you're going to get. This photo was on the first roll I put through my father's Rolleiflex, which had sat idle in a closet for over 30 years. I had never used the camera before and was not sure the meter still worked.

"A dog and a half," Solo and Skeeter in San Francisco, February 2006.
That was the beginning of my love affair with a 40+ year old manual medium format camera that only lets you take 12 shots per roll of film.
Go out and shoot, find a style you feel comfortable with. Your photos don't have to look like anyone else's photos. You don't have to have the latest or greatest digital gear. In fact, I think a lot of the time you learn the most by working within the limitations of what you have. If you do have the latest and greatest digital gear, good luck to you. The manuals for those suckers are pretty damn thick. (And I'm off to read some more in the D300 manual now. Considering how huge this manual is, I expect it to be able to make dinner for me tonight!)