I think a key to success in our profession is continuous learning but you need to do it in a way that you can sustain.
1. Alternate between breadth and depth of knowledge.
2. Alternate between skills that are directly applicable to your job and skills that might add to the foundation of your knowledge base.
3. If you can, only study things that you find interesting.
4. When learning new methodologies such as TDD, don’t entirely re-tool your workflow, instead incorporate the new ideas in an evolutionary manner. I think methodologies are most powerful when they are immature and still half-baked and became less powerful as they became more formalized. TDD is an execellant field to study because it leads to the discovery of cool techniques such as “mock objects”.
5. You will be sacrificing recreational time for your studies so you should try to make your studies a form of recreation, otherwise you risk burn-out.

Some types of skills are not necessarily fodder for our resumes but increase our productivity. Like learning your IDE better or learning a scripting language.

Another facet is deciding to be an “early-adopter”. As an early-adopter you incur some risk that you might not see a return on your investment, if the skill does not garner any demand. Again, mitigate the risk by chosing a new skill that you find interesting and that adds to your general knowledge base.

As we mature in our careers and find ourselves in positons such as architect, the problems compound as we began to consider “systems of systems”. Middleware, databases, require breadth of knowledge and the ability to work with others who will be the depth.

Thanks for letting me spout off. I probably blog on this stuff myself.