Emily A. Croom has an article in the January/February 2009 issue of Family Chronicle, "Research Advice From Literary Sleuths" (p. 33). Since I am a mystery reader, this is one of the articles I looked at first this month!
The advice she presents from fictional detectives is clear and to the point (although she doesn't cite her sources). Even the most unemotional fictional detective can be 'human' though. I've just been reading Imprint Of The Raj: How fingerprinting was born in colonial India by Chandak Sengoopta who points out that Sherlock Holmes once had examined fingerprint evidence with a wary eye, but later appeared to take its value for granted. (I do recommend Sengoopta's book, by the way. Excellent read!)
I have some favourite fictional quotations of my own. This one, I think, sums up why we don't always take the long research path - why we sometimes jump to conclusions or ignore vital or contradictory evidence.
The Adventures of Sherlock Holmes by Arthur Conan Doyle (Charleston, South Carolina, USA: BiblioBazaar LLC, 2007)
"It is a capital mistake...." A Scandal in Bohemia, p.13 (First published, 1891, The Strand Magazine)
"Data! data! data!...." The Adventure Of The Copper Beeches, p. 289 (First published, 1892, The Strand Magazine.
Preview at Google Book Search: http://books.google.ca/books?id=FkTwORm1r8AC
The Adventures of Sherlock Holmes, Wikipedia: http://en.wikipedia.org/wiki/The_Adventures_of_Sherlock_Holmes
The Borderline Case by Margery Allingham in Modern Short Story Classics of Suspense (The Readers Digest Association (Canada) Ltd., 1968)
"It's because....", p. 21
Originally published in Mr Campion: Criminologist (Garden City, New York: Doubleday, 1937) See The Margery Allingham Society, Bibliography: http://www.margeryallingham.org.uk/index.html