Depending upon the cause for the missed approach you need to generally ensure that you have the aircraft under positive control both laterally and vertically.
In mountainous terrain then CFIT is a very dangerous possibility so switching your, or the whole crews attention from 'approach mode' to 'go-around mode' is, in my opinion, essential.
One of the trickiest parts in a multi crew operation is ensuring that the reasons for the go-around, especially if self generated, are put behind you and the critical procedure is followed. This includes any malfunction checklists that might need to be deferred if the pattern is complex.
The absolute necessity is 'fly the plane'. Full use of automatics if available and ensure that the go-around procedure is accurately followed. Normally complex go-arounds, Zurich, Hong-Kong etc. will be fully briefed during the approach brief, checked in the FMC (if equipped) and talked through not only what heights and restrictions are involved but also how the procedure is to be flown.
As before, fly the plane!!!! If you allow distraction (diving into checklists, grumbling about poorly flown approaches etc..) or deviate off of the laid down procedure you are putting your aircraft, passengers and crew in danger.