Generally unless you're a genius in the field (ie, Warren Buffet, Peter Lynch etc) you will not beat the market, so what you have to do is join it. Take your money and spread it widely across sectors, indecies and geographical regions - if you spread it well enough, your money will grow at the rate of the global economy which is realistically the most you can hope for.
The second thing is to separate your investments from your speculations. Your investments targeted for long-term growth should be handled as above - spread them widely and sit on them for a long time. Your speculations should be money you can easily afford to lose and you should do with them whatever you instincts tell you. This can be things like buying stock in a particular company or commodity, trading currencies etc.
You can expect your money to grow at more than the rate of global economic growth if you own equities rather than fixed-income, unless you are arguing that investors are indifferent to risk (which can't be true if they use leverage).
The second thing is to separate your investments from your speculations. Your investments targeted for long-term growth should be handled as above - spread them widely and sit on them for a long time. Your speculations should be money you can easily afford to lose and you should do with them whatever you instincts tell you. This can be things like buying stock in a particular company or commodity, trading currencies etc.
Finally, you need an excellent book: http://en.wikipedia.org/wiki/A_Random_Walk_Down_Wall_Street