If you've ever had trouble getting started doing a data analysis, you are certainly not alone. Should I run an ANOVA, MANOVA, ANCOVA, or MANCOVA? Should that have been a McNemar's test, a Kruskal-Wallis, or a Mann-Whitney U?
To at least pin down the statistical test you should run, consult these excellent flowcharts by Marylyn Ritchie, Jason Moore, and Tricia Thornton-Wells. They have been stuck to my wall for years, and whenever I have a new type of data to look at, I consult them to get headed in the right direction!
UPDATE 2009-04-06: Be sure to check out the follow up to this post, What's the Right Analysis part II, for a link to example applications of these methods with the appropriate Stata code.