Every job, every role, every company you go to is an opportunity to learn how a business works and how an industry works.
Learn everything you can about the business and the industry in which you find yourself.
How would I start a firm like this today?
Or, if I were starting a company in this industry today, how would it be different than this firm?
Why is this firm and other firms in this industry doing what they do?
What are the assumptions underneath their behavior?
Should those assumptions be changing?
How might this industry work differently?
Which customers are being underserved?
What new technologies might change things completely? How were things working 10 years ago, versus today, versus 10 years from now?
And, my favorite: if the creators of this industry were starting out today, what would they be doing now?
The Pmarca Guide to Career Planning, part 3: Where to go and why
Also check out :
The Pmarca Guide to Career Planning, part 1: Opportunity
The Pmarca Guide to Career Planning, part 2: Skills and education
And while we're talking about career advise, check out Scott Adam's take on it as well.