One of the most useful things I learned on my masters was the importance of citation. It's not enough to provide a fact: you need to be show where it came from.
I once spent a few hours in the University library tracing William Burrough's assertion that Tristan Tzara caused a riot by performing random poetry on stage. I'd seen the fact quoted in various places but ended up fairly sure it was an exaggeration on Burrough's part (as unlikely as that sounds). By a process of repetition the story had gained an academic credence.
Another important thing I learned was to be suspicious of common sense. If 'everyone knows' something it's worth figuring out where that belief comes from and what its limits are.
David Aaronovitch has written a brilliant article in the Times investigating the statistic that we are caught on CCTV 300 times a day. It's a fantastic demonstration of how 'everyone' can come to know something. (via As Above)