Tyler Cowen extols the work of Seth Roberts on self-experimentation -- methodically studying the effect on one's own life of changes in diet, exercise, and other habits. As a result of his studies, Roberts does some unusual things, such as stand at least 8 hours a day (which he claims greatly improves his sleep). Although I like the idea of self-experimentation, I think Roberts is too quick to extrapolate from his own experience to principles that might apply to others. While I don't want to sleep poorly, either, I've found that the best way for me to sleep soundly is to stay up later (e.g., last night I went to sleep too early and was awake between 3 and 4 AM or so). Roberts claims that eating breakfast is highly overrated, but I find that for myself it is absolutely essential to optimal functioning both physically and mentally. Etc. So as far as I can see, the key to self-experimentation is to take your own experience seriously. Just because something works for someone else, doesn't mean it will work for you. That's methodological individualism in action!