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 My favourite is when you gradually add layers of difficulty . Cody has grown to be an invaluable library of problems unlike anything else out there . Some of the problem groups like those made by Karl (Chemical engineering series) could even be university courses :)  

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Sometimes it's fun to go through a list of quick problems, and sometimes it's fun to dig into something new, but I always like it when there's a strong thematic connection (as opposed to a grab bag of very loosely related stuff). That way you come away feeling like you've learned something about a topic.