...but to do it correctly! Don't just randomly start running around the Sonora Desert snapping pictures of ball lightning or lenticular clouds. No, no, you should go read the CIA's guide, How to Investigate a Flying Saucer.
"My tax dollars at work!", I hear you thinking. But I have just listened to a fairly convincing talk whose thesis is, That is really a very usable framework for computer security incident response. I see the point, but I am going to have to investigate it further and see how far the analogy stretches.