Go to Kaggle and enter a data competition. It is super, super easy to start (usually you just have to submit a solution which is a bunch of 1's and 0's) but to win, or even increase your rank, requires learning of real, practical data skills. I believe some companies even do recruiting through kaggle competitions.
If you go this route, download the scipy superpack which includes scikit-learn. You can spend five minutes reading about e.g., Naive Bayes classifiers, and then five minutes later you can be checking out how it works on your data!
Lots of people (particularly people associated with LessWrong) are telling me I should become a computer programmer; in response I've taught myself a little Python using this site, written a couple Python scripts on my own, and just now sent in an application to App Academy. But if I don't end up going to App Academy, what's the best way to develop some actually marketable programming skills? I've heard people recommending getting involved in open source projects on Git Hub, but when I looked at Git Hub I found it overwhelming, with no idea of how to find a suitable project to work on. Advice?