Programming & Data Analysis
Nearly all behavioral work requires a working knowledge of variables, if/then or for/while loops, counters, and basic variable manipulations. If you are interested in electrophysiology or neuroimaging work, then programming is important. It is difficult to complete a project during a Master’s thesis without some programming knowledge from the beginning or acquired early on. Acquire it as soon as possible. The specific language with which you are familiar is not so important, but Matlab or Python are good starting places; in my lab Matlab would be handy.
Debates about which programming language is the best to use have always been around. They are probably as old as programming itself. Currently the debate in our area is often about Matlab vs. Python vs R.
Matlab
How to get started with MATLAB programming?
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Read this book: MATLAB for Behavioral Scientists
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Get familiar with the basics: Matlab Basics
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Accomplish a few MATLAB challenges for beginners
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Learn to use programming style: Wikipedia
Data analysis
How to acquire signal processing skills?
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An accessible and free book about digital signal processing.
How to analyze electrophysiological data?
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Check out Mike X Cohen's EEG/MEG lectures
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Mike X Cohen's book on Neural Time Series Analysis
How to deal with complex numbers and circular data?
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Read this tutorial to understand complex numbers
Other analysis problems and solutions:
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Low-pass filter at very low frequencies: allsignalprocessing
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Potentially spurious correlations when comparing time series
Statistics
A good collection of papers highlights important issues about statistical analysis in biology, psychology, and neuroscience.