One thing I've noticed since I've started fly fishing is that I pay attention to every bug I see anywhere now. Also, anything I think I might be able to tie a fly out of. When I'm on the water, I'm always keeping my eyes peeled for anything fly or skittering on the water, or looking down into the water to see what is floating by. I find that a lot of times, I can see nymphs floating through the water. Also, flip over rocks and see what's living on the bottom. Even when I'm not fishing, I'm trying to catch anything that flies by. Our baseball field gets a serious midge hatch from the creek running behind it in the evenings. I also search the internet often looking at different species of flies. A tip for learning the flies is learning the profile of certain species, caddis, mayfly stonefly, etc. Then look at the color to determine what kind it is. Knowing what should be hatching helps a lot too. Just some tips, I'm still learning a lot myself.
"I've got to stop wishin, I've got to go fishin"