Fix the weakest link
It seems that many people come to Sensei's Library looking to improve their game. The popularity of pages on studying and improving shows this. The problem is what works for one person doesn't always work for others. People wanting to improve must tailor all advice to their personal needs, and that involves fixing the weakest link first.
If you've played more than ten games or so, you can probably look back and notice that you improved most rapidly when you first started. If you think of overall strength in go as a sum of the strengths in various areas, it follows that your overall strength will improve most rapidly if you try to improve the areas of your game in which you are "first starting."
Karl Knechtel: Seems to me that this advice can be applied on the board as well as off (although you have to avoid wasting effort on links that are broken :) ). See also perhaps do not create two weak groups?
ufotds: obviously! It applies to any skill you want to learn. Don't be tempted to practice those areas in which you are already good.
Jeff: Not so obvious. I doubt Li Sedol works on improving his skills in quantum physics. His time is better spent improving an area where he's already strong and will have a greater impact on the world -- the area of Go. Similarly, I'm ever grateful that surgeons put unceasing hours into mastering arts that they're already very good at -- it makes surgery safer for their patients -- a bigger benefit than if they instead devote that time to appreciation of Science Fiction literature (an area where they may be weak).
AnonLinguist: Scope! Within a single activity, there are various aspects. Improving the weakest aspect best improves one's skill in that one single activity. That is what's being said here. No serious skill has only one aspect to it, and it's tempting to look for quick rewards in the aspects one is good at, at the expense of critically analyzing and handling (ideally eradicating) one's weaknesses. You're talking about building other houses, while the topic here is the pillars forming the foundation of a single house.
Luis Sousa: Ask any professional player what the weakest link is in amateurs(at any level), and most, if not all, will answer "reading"! studying tsumego and tesuji is the way to go! Or should I say, studying progressively more difficult problems is the way to go! Something like going through 1001 l&d several times until it feels easy should take you to 2 or 1kyu, then the same with weiqi1000l&d until it feels easy(takes to 2 or 3dan), then gukyo shumyo(takes to 5dan), then guanzi pu... etc etc