I recently finished reading
Nate Silver's book "The Signal and The Noise: Why Most Predictions Fail But Some Don't". Nate Silver is currently somewhat famous because his election predictions - he runs the blog
fivethirtyeight for the New York Times - his election predictions were basically spot on. The book, timed to come out shortly before the election (in what I think was a sort of gamble to capitalize on a successful prediction) is about prediction, generally defined. Structured as a sort of collection of case studies, the book talks about all the ways prediction can go wrong, and about what to do to try to get it right. There's no nice one-line answer, but I think he gives some pretty good advice.