Having an enquiring mind! I think you have to want to find things out, and be prepared to work at it to get there!
Each dataset may only fill in a tiny piece of the puzzle, so you have to be patient and keep working at it.
I think the most important thing is to know which are the right and important questions to ask.
You only have a limited time and energy to invest, so you should choose your problem very carefully: something new, and quite hard (so that nobody else has done it before you — the whole point of being a scientist is to discover new things!), but also not too hard — or you might never be able to crack it.
That, and being critical all the time. Starting with yourself. Plus, keep an open mind and enjoy every day!
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