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Hello and welcome to Lifein19x19.com!
We are pleased to hear that you are taking up this most marvellous of games. If you have read Sun Tzu's Art of War, you will have a deeper understanding of it once you've spent time playing this game. Ever wanted to know the workings of Japanese business? You'll know a few important things once you've spent time playing this game. Wish to know a piece of Chinese culture? You will experience it once you've spent time playing this game. Want a sharper and stronger mind? That will be the result once you've spent time playing this game.
If you wish to improve at Go and have fun at the same time, play plenty of actual games.
To really improve at Go, in addition to playing actual games often, do the following two things. One is to replay professional game records. This can help you tremendously. For one, you will observe what a game of Go looks like when played by two experienced players. For another, you will accustom your mind to what happens in a game of Go and develop the mental stamina needed to play the game. For yet another, you'll find good ideas to help you. Each game you replay is data to help inform your decision when playing actual games. As well, you'll know when is the best time for a particular kind of move. This is very important if you want to play Go proficiently. In replaying professional games, you get to see the different ways in which the game is played. I would recommend starting out with games by Dôsaku Honínbô or Shûsaku. These games have plenty of good technique and sound strategy, and are straightforward in comparison to games by today's players.
However, in reality you can pick whichever player you like best. There's Lee Changho, Takemiya Masaki, Go Seigen, Cho Hun Hyun, Yoo Changhyuk, Rui Naiwei, Cho Chikun, Awaji Shûzô, etc. Lee Changho's game records are quite popular and his endgame is superb. He does not play too flashy a style of Go, so even though you may not have any idea of what does in his games - at least until you've played seriously for a year or two - I am confident you'll learn a lot from them. If chaotic games are your thing, I recommend games by Rui Naiwei, a female Chinese 9-dan professional, or Huang Longshi, one of the strongest players in China during the 1700s, or the Dang Hu games, played during the same century.
Everyone has their own way of playing Go and, with diligent study and practice, you will find your own unique way of playing as well. Do understand that you can play Go in any way you desire, but it does help to learn from those who already have plenty of experience. Thus, replaying game records by the player of your choice will help you to understand how an experienced player plays your favorite style.
Playing Go is a bit like playing music. In a piece of music, there are notes on a scale and intervals in a scale, but these are combined in countless different ways. In a game of Go, there are 1-point jumps, 2-point jumps, 3-point jumps, L-jumps, appraoches, attachments, hane (loose 90º turn), and other techniques, but these are put in countless different patterns to make up a game of Go. This is why Go is considered the game of patterns, just as music is sound in patterns.
There are books with game record collections, mostly in Japanese, Chinese, and Korean. If you would rather print out your game records, you can go to http://www.go4go.net . Therein exists a vast archive from which you can obtain the game record of your choice. However, to print a game record on paper, you must register for a free account.
The other is to do problems. Lots of problems. Key for beginners are life & death and tesuji problems. These will help you to keep your groups alive and kill your opponent's groups, and connect and separate stones as needed. Do lots of these, since they are the bread & butter of every Go player. When you have a bit more experience with these two skills, you may want to try learning some jôseki. These will be understandable since one needs a good command of the above mentioned skills to know why jôseki are played as they are played. As well, a player has to look at the whole board when playing Go and knowing which jôseki to play - or even whether to play jôseki or not - requires looking at the whole board. Which is why doing opening and middle game problems will come in handy. As well, you will want to do whole-board endgame problems to win close games. Often, a couple of points mean the difference between victory and defeat.
To recap, do problems for these skill sets. Life & death, tesuji, jôseki, middle game attack & defense, opening, and endgame. Do a fair number of these and your Go will improve substantially. Of course I cannot guarantee you'll go on a winning streak, but at the very least your understanding of Go will increase and your playing will become clearer and more logical.
Of course, the more you study, the better you'll be. Even so, as little as 15 minutes a day of problem solving and just 2 professional game records a day will help keep your Go skills sharp. There are several places online where one can buy problem books and books on Go theory. Four of these are http://www.slateandshell.com , http://www.yutopian.com/go , and http://www.kiseido.com/online_f.htm . If you are online much of the time, http://www.goproblems.com is a good place to start. If you prefer to print out your problems, one place to go to is http://tsumego.tasuki.org .
Before I forget, after you finish playing a game, go over it with a stronger player to find out what you did right and what you did wrong. Go is about the relentless pursuit of perfection, so settle in for the ride 
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