You obviously need to have a pretty good idea what it is your are interested in studying. The key is to be focused without being overly specific. There is a big difference between a methods course paper demonstrating you understand how to do and interpret a crosstab and a dissertation or major research project.
Data comes in all shapes and forms, from relatively easy to work with to practically impossible.
In general, for your early course work, you should think about topics that are interesting to you, and that are related to what you might want to pursue in more detail later on. Note that it is better to have fewer but more applicable variables than to wallow around in hundreds of variables trying to see what pans out. The DBMC, along with your professors, can offer assistance in deciding which data might be most appropriate. The sooner you focus on a topic and find a data set the better. Sometimes the data doesn't have what you want or need, and you need to find something else.