One of the things that I think we could use here is a list of things that people might find useful when doing analysis of any sort. I decided to start a thread on it and encourage people to add suggestions. If we get a really comprehensive list, we can create a more centralized webpage with the information.
I think I'll start not with information about analysis techniques, but about how to find out things about a star or data set that you're interested in analyzing. I use a lot of resources on a regular basis, but I'm not sure whether they're generally known about.
Probably your first place to stop is VSX  itself, since it's very comprehensive and there are a lot of people working very hard to make it even more so. Remember you can do both name and RA/Dec searches, so you can find fairly quickly what's known or not known about an object. The URL is http://www.aavso.org/vsx 
There are also a number of academic and professional sites that are really helpful, with the big five for me being:
There are a number of different phrasings, but there's a good humorous saying to the effect of "a month at the telescope can save you an hour in the library". It's always fun to observe, and it's also fun to look at data, but one of the best ways to start a data analysis project is to learn what's already known about the objects you're looking at. There are a lot of data analysis tasks that can be done very quickly (like running a Fourier transform in VStar ), but be aware the body of existing literature and information for some stars is extremely large. It's good to know what previous work has and hasn't said before you start a really comprehensive analysis program.
Feel free to start adding ideas and other useful sites that you've encountered.
[edited, changed "VPhot" to "VStar"]