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I try to teach a few things all at once.  First and foremost, students learn principles of economics that help them think more clearly and a bit differently about the world around them.  

Whenever possible I also emphasize the ambiguity and complexity of the world in which we live.  I try to emphasize that while economic theory provides very useful insight, complex problems always defy clear and obvious solutions.  When the topic is a vexing problem, I think it's important to answer some questions with "I don't know" to help students realize that no one narrative, no single perspective, can explain everything. I say it's OK to leave class with a lot of unanswered questions. 

I ask quite a few questions in class, even in the mathematically-oriented ones, so that students learn concepts by thinking through answers as I guide them along.  Again, I always say it's OK if you don't quickly understand because it means you're seeing the nuances of difficult concepts. 

I also try to convey other, more general skills that will be useful no matter what career path students choose.  In upper-division classes, including very quantitative courses like econometrics, I ask them to develop their writing skills. I ask students to read quite a bit and then explain and critique the gist of what they have read. I ask them to argue. I sometimes ask them to work in groups.      

I believe that many times the most important learning takes place without students ever realizing it.  Most students will not become professional economists.  So grappling with complexity and uncertainly and thinking through and explaining answers to questions are the skills that will probably matter most to them.  Fully engaging the specific course content becomes the vehicle for developing these more general skills.  

Finally, I treat all my classes as works in progress, and never teach the same course exactly the same way.  From using different technologies to changing assignments, readings, and topics, I believe any course can be made better through experimentation.