Your experience isn't just true "for me", it's true statistically. A Master's degree in most STEM fields (IIRC) is an investment, and a better investment than you can find in the market if you're smart enough. A doctorate in most (all?) fields is partly a consumable - it leads to higher expected starting salaries, and even higher salaries than one would have had by spending those PhD years accumulating job experience, but not enough higher to make up for the lost income during those years.
Of course, a PhD is valuable in more ways than just income, and I don't regret mine despite some delays which make the above economics worse. But everyone should know what they're getting into.
There was some support for the idea of starting an advice repository for grad students much in the same tradition as the Boring Advice Repository and the Solved Problems Repository started earlier by Qiaochu_Yuan. So here goes.
Please share any advice, boring or otherwise, for succeeding at grad school. I realize that succeeding might mean different things to different people, but I believe most people largely agree with what it means in this context. Feel free to elaborate on what you believe it should mean, if you have views on the subject.
I am a theoretical physics grad student, so I'm personally more interested in advice for mathy disciplines (i.e. physics, math, CS), and I also suspect that there are many grad students from these disciplines on LessWrong; but advice for any discipline is welcome as well.
Advice is welcome from anyone, but please do mention your background for providing the advice so that people can weight the advice accordingly. For example, I would be more be open to listening to advice from someone who has completed a very successful PhD, than from someone who has simply interacted with a lot of grad students but has never been to grad school.
Also, feel free to link to advice from other sources, and maybe quote the most useful parts in what you read. Remember, this is meant to be a repository, so that people can come and find the advice, so don't worry if it seems to be something most people would've already read or known.
Thanks!