My last 3 "tips" are strategies that I've found useful in my own research. Hopefully others will find them useful as well.
The first tip may sound strange, but it is this: "Take a break." If you get to a point in your research where you feel like you're banging your head against a wall, move on to something else. When I hit a brick wall with a particular individual or family, I sometimes like to switch gears and research a different family line. Later, when I go back and look at the other family with fresh eyes, I often find things I missed before, especially since new sources of information are becoming available every day. Here's an example of this strategy in my blog of 8/16/2010: http://familydetecting.blogspot.com/2010/08/if-at-first-you-dont-succeed-try-try.html
The second tip is to "Look at the big picture." In other words, don't focus on just one person or family. Instead, look at the person or family as a part of a community which includes siblings, cousins, neighbors, etc. I discussed this strategy in detail in my blog of 8/17/2010: http://familydetecting.blogspot.com/2010/08/looking-at-big-picture.html
The last strategy is what I like to call "Put your thinking cap on." It's important to take time periodically in your research to evaluate all the information you've accumulated and to formulate a plan for filling in any gaps. For an example of this strategy, see my blog of 10/4/2010: http://familydetecting.blogspot.com/2010/10/detective-work.html
