Since you're throwing away most of the 9V, a diode in series won't hurt efficiency, and could prevent damage if someone touches the input voltage in reverse, so definitely put it in.
Keep the leads short, as @Ignacio suggests. There should also be decoupling across the micro-controller pins directly as well if the two are separated by more than some mm.
If the 9V is coming from a battery, I would also suggest a largish aluminum capacitor across the regulator input, 220uF to 1000uF rated at 10V or more. If the leads are short (an inch or so), that can replace the 330nF. If it's an AC adapter supplying the 9V, there's already a big cap in there, so the 330nF is fine.