A game that I play stores all of its data in a .DAT file. There has been some work done by people in examining the file. There are also some existing tools, but I'm not sure about their current state. I think it would be fun to poke around in the data myself, but I've never tried to examine a file, much less anything like this before.
Is there anything I should know about examining a file format for data extraction purposes before I dive headfirst into this?
EDIT: I would like very general tips, as examining file formats seems interesting. I would like to be able to take File X and learn how to approach the problem of learning about it.