I am an amateur historian, in other words I don't have a degree in History, but I think it's alright if I answer.

I mainly think about parallels in other parts of history, and how it connects with common themes found throughout it. For example, a lot of the endgame during WWI is what set up WWII, mainly harsh punishments done to Germany, and Japan/Italy not feeling that they had appropriate spoils for their efforts in the war.

I also wonder about the accuracy and legitimacy of what we know, as history has been rewritten quite a few times. There were so many things that we thought about the Egyptians that we didn't know until the discovery of the Rosetta Stone.

Finally, I always think about alternative history, "how would it be if x happened/did not happen?" This would mainly be based on the previous two ways of studying history, as well as other aspects like Geography. Two classic alternative history scenerios are "what if Germany won WWI/WWII?" and "What if the New World was never colonized?"

I know that history is full of facts and concrete information, but that doesn't mean it doesn't allow for creativity. Learn to be creative with history and it'll be a lot easier to enjoy studying history.

One final thing I would like to say, and I know that this is going to sound extremely niche, but you should look into trying out some strategy games, mainly games from Paradox Interactive. It won't help with understanding history in depth much, but it will help with general guidelines with what was happening at that time. A lot of references with nations and cultures that appeared in a textbook or an essay also appeared in the games, and I wouldn't have been familiar with them if I didn't plug some hours into Crusader Kings 2 or Europa Universalis 4.

Good luck!