If you have a platform taller than 4', you need to put railings on it that will keep actors from falling to their deaths. If you have an audience platform taller than (some smaller number that I'm not sure of) you'll also have to create railings for them.
Some notes about good railing construction:
-The railings need to be at least 3.5' (42") off the platform surface. Don't make them too tall, though, or the actors can be too hidden.
-It's surprisingly easy to make stable railings. Don't worry too much about adding lots and lots of wood. The Othello railings had about 4' gaps between each vertical support, and they were fine.
-Railings don't need to be 2x4s. Othello used 2x3s to good effect. Twelfth Night used 1x3s, which seemed fine (though weren't intended to be structural). R&J used 2x4s for the edges and horizontal parts, but had 1x3s as the rest of the vertical slots.
-If your railings need to be more than 8 feet long, consider buying wood that's long enough to span that whole length, since it will be easier to make it structural.
-The more places your railings are connected to something at right angles to them, the more structural they will be. Opportunities for this include corners of the platform, staircases with their own railings, flats, and so on.
-Try to make sure actors don't get splinters. Sand the edges before you paint the railings, and make sure no screws stick out once they are constructed.
-Making railings a bit longer and letting them continue further down along the platform can make them more structural.
A picture showing one reasonable way to construct railings:
A totally different take on railings:
Flats make good railings. They're even more structural than normal railings sometimes! Plywood can also make good railings. Just align the plywood with the side of the platform and screw it in. Maybe add a few 2x4s screwed into the plywood to make it a bit less wobbly. Run lines of gaff tape along the seam between flats or plywood to get it to look like one solid piece.