Context
Like any source, data cannot always be trusted. It comes with its own histories, biases, and objectives. So like any source, you need to ask questions of it: who gathered it, when, and for what purpose? How was it gathered? (The methodology). What exactly do they mean by that?
You will also need to understand jargon, such as codes that represent categories, classifications or locations, and specialist terminology.
All the above will most likely lead you to compile further data. For example, knowing the number of crimes in a city is interesting, but only becomes meaningful when you contextualise that alongside the population, or the numbers of police, or the levels of crime 5 years ago, or perceptions of crime, or levels of unemployment, and so on. Statistical literacy is a must here – or at least show your work to someone who has read Ben Goldacre’s book.
Having a clear question at the start of the whole process, by the way, helps ensure you don’t lose your focus at this point, or miss an interesting angle.