Hey hey, figured I'd comment since I saw your post on Mr. Jacks profile. I'm not nearly as good as him but I've improved enough to know what works.
First and foremost you should be drawing as much as possible, and consistently. Consistency is key, drawing a ton one week, then not at all for a few weeks isn't going to help much. You can start smaller and work your way up. Maybe try a half hour to an hour a day and slowly increase it. Many professionals are doing 8-14 hours daily.
So, now, what to draw and study? I'd say focusing on drawing and basic construction at first to have a strong foundation is good before really getting heavily into painting and rendering. But it's definitely not a bad idea to do both. The key is to do studies and then apply that knowledge to imaginative work to really solidify it in your brain. For example, if you draw a portrait, or sketch some heads from a photo or from life, then shortly after do a portrait or a character's head from imagination, that information is being tested to see exactly what you recall and what you're still having trouble with. Still having trouble with eyes? Good time to get specific and maybe do some eye studies or whatever is giving you issues until you no longer are struggling so much with it. I recently realized I'm not as good at hands as I want to be, so after I finish the subject I'm currently working on I'm going to try to challenge myself to draw 100 hands (don't forget to do some from imagination too) and by the end I should be much better at them which will transfer over to my personal/imaginative work.
This is the same with painting. If you're painting characters, illustrations, whatever, and notice you're having issues with rendering/contrast, then do some studies of similar subject matter and focus on the range of values. You could even do a grayscale image to really focus on the values most of all. If you're having trouble with color, find something similar to what you're doing and do a study focusing on color, and maybe be more loose and not be so worried about the drawing or rendering. You continually do studies with a goal in mind to improve a specific area you're having issues with and want to understand better. Also building a visual library is a great idea, meaning drawing (I'd recommend just line drawing/sketching) a variety of different subject matter you may not have drawn before. Various animals, different cultural architecture, vehicles, dress, armor and costumes from various cultures and time periods. etc.
Now when you're first starting out or at a beginner level, basically, study anything you're interested in. Draw what you want to be good at. Have fun with it. But I'll list general studies people often do, and I'll also say the human figure is a great place to begin. People often say the most difficult thing to draw in the human figure and head, and if you can draw it well learning any other subject matter shouldn't be too difficult.
-Anatomy and figure studies
-Head and face studies
-Color and value studies (Painting)
-Master studies (Finding a painting of an old master and copying it, focusing on composition, color, value, etc)
-Armor, costumes, and different clothing (more of a study with an emphasis on design)
-Speed study (painting or drawing something while focusing on capturing the image quickly and loosely)
-Perspective (Perspective is huge, understanding space and how to place any object in it. Look at what Feng Zhu's students are doing (FZD School of Design) to see how much emphasis he places on it)
-Environment/landscape studies, or any other subject matter you'd like to improve on
A somewhat common pitfall is to either only do studies or to only do work from imagination. When you only do studies, the information is never really directly applied, which causes a lot of information to be lost. The quality of study work from imaginative work also begins to have a disconnect. You've honed your eye to copy well but not the ability to really understand and be able to use that knowledge of form/construction/value/color etc to create from imagination. When you only do work from imagination you don't really gain new information to improve your work and keep making the same mistakes. You're drawing with the same amount of knowledge as before rather than putting new information in your head, as a result your work doesn't really advance nearly as much as it could.
I took some classes at my local community college when I first began drawing, and when you're not really sure where to start or what direction to take they can be a good option that isn't extremely expensive. I'd also recommend joining a community of some sort online. The Crimson Daggers are a great one with a huge focus on getting better and pushing yourself. Starting a blog or online sketchbook (like you would find on CGhub or conceptart .org) can be a great way to keep yourself focused and motivated.
As with everything I write or say, that was long winded. But I hope it helps.