Being a writer is a great excuse to do all sorts of things in the name of research. A few years ago, I had this idea for an urban fantasy detective novel. I never got around to writing it--yet--but I had fun taking a class on private investigation in order to do some research for the novel.
To my surprise, there is a ton of variation among states when it comes to who can be a PI. For example, in New Mexico it's required that you undergo an extensive background check, get fingerprinted, take and pass an exam, and have at least 6,000 hours of investigation-related experience in the previous five years. After you pay the fee and address the other details, then you can get licensed as a private investigator. In Colorado, however, you don't need any of that. Joe Schmoe can simply call himself a private investigator, and that's that.
We had guest speakers, including other PI's who specialized in different areas, and a psychic. The psychic would be in the middle of discussing a case she'd worked when all of a sudden she'd focus on an individual in the class and give a mini-reading right then and there. I was torn between making eye contact with her and furiously scribbling away the entire time. I was (foolishly, I admit) afraid that she'd know all my secrets and spill them in front of the class. Instead, my mini-reading was quite tame.
Private investigators can work for themselves, or for lawyers, or for corporations (doing background checks and internal investigations, for example). The best ones tend to be detail-oriented, organized, and able to think on their feet. And they seem to have even more paperwork than medical professionals.
Here's a list of some schools around the country--and a couple online--that offer PI classes.