Something that was an eye opening experience for me was watching my own employer go public. All of the sudden the rest of the world is trying to understand and make sense of your business.
From the individual investors talking about our business on twitter or seeking alpha to the analyst reports from the massive investment houses, other people's conjecture about our market and our strategy is often just way, way off base.
This experience made it painfully clear that most investors, even "professionals", are operating in an extreme vacuum of information. They know almost nothing about our future prospects relative to what the employees living in the space every day know.
It's half because they are spreading themselves too thin, and half because they aren't living in our space, talking to our customers every day.
Long story short, I'm realistic that as an individual investor who isn't an insider, I'm at a huge disadvantage. So I hold a lot of employee stock, and I'm moving more and more toward boring old index funds.