(Or in English, post-graduate study).
A while back, I posted this short movie about doing a PhD in English. It's all completely true, but that doesn't mean you should take its advice. Education is being progressively deprofessionalised: further study and an academic career (to use the old joke, it's a career of the kind that happens when your brakes fail on a steep hill) are despised by many people as somehow not in the 'real world'. This is mostly because it's one of the few jobs that involves potentially doing something you enjoy.
PhD candidates split into two camps as far as I can tell: the ultra-confident megabrains who breeze through it, and those who desperately cling on and scrape through. I read an obituary last year of a professor who held PhDs in chemistry, physics and literature. He wrote the physics PhD in 6 weeks, claiming to have been 'thinking about it' while on active duty in World War 2, and for a hobby would write academic papers in Latin. There are a few of those types around in The Hegemon: they churn out learned journal articles every week and appear not to need sleep or beer.
I'm the second type. I was utterly stunned to get a First class degree and prizes in my BA, because I was expecting a 2.2. So someone suggested I do an MA and it sounded like a good idea because a) they kindly offered to pay the fees and b) I didn't want to be a teacher. I struggled through that, and somehow got a PhD scholarship. Suddenly things were much, much harder, and I always felt like I was faking it - especially at conferences, where the Gods of Postgraduate life swanned around like fully-formed geniuses. I fervently hope that they're faking it too.
So I found getting a PhD difficult, but it was still rewarding. You can pursue your own impulses in a way that people rarely can once they're potty-trained. In return for becoming a stereotype (hello, Big Bang Theory), you're licensed to roam. Until, that is, you try to find a job, at which point you discover that hourly-paid drudgery is the universities' secret weapon. You can bet that when the £9000 fees come in, the Oxfords and Cambridges will be dumping a scared postgrad or desperate new PhD in front of the class: the professors don't want to teach undergraduates and in any case, cost too much. Elsewhere, I don't know what you'll get. Imagine doing an MA and a PhD, at your own expense, when you already owe £50,000 for your BA/BSc: only the very rich will be able to do it.
Why do a PhD? Because you need to know about and think about a tiny corner of human endeavour. Don't do it because you want a job, a house or a pension. Do it because there's nothing else that will satisfy you. (Unless you're thinking of a PhD in banking, finance, economics or weapons design. Just don't).