I remember many years ago a friend's father commenting on my PhD by saying "isn't it wonderful to be the only person in the world to know about this thing that you're working on?" That's the moment when you have your unusual observation, something that nobody else has seen before (or at least nobody has published before) and it truly is a wonderful feeling. You rely on your advisor to tell you work to look initially, and eventually you get good at finding those places to look yourself.
As Frank Westheimer once said (paraphrased) "Science starts with an unusual observation. When you have an unusual observation, one of two things has happened: you've made a discovery or you've made a mistake.". That's also an important lesson, and one that formed the core of my PhD.