Machine learning is great for helping you understand a new dataset quickly. I often train a basic logistic regression classifier and introspect the coefficients

Machine learning is great for helping you understand a new dataset quickly. I often train a basic logistic regression classifier and introspect the coefficients to learn what features are important, which are unimportant, and how they are correlated. There are a number of other statistical techniques you can use for this but scikit-learn makes this very very easy to do.