Konceptual, Talesin's advice to study some philosophy is a good place to start. It encourages one to look at things critically, even our basic assumptions about reality and perception.
I also agree with botchtower to think of life as a journey - explore different ideas and experiences. I've explored atheism (Dawkins etc. were provocative reads, but I now find their arguments simplistic), philosophy, theology, eastern spirituality, etc. I practice zen meditation, and find it gives me insight and a sense of peace. But I don't think of any of this as replacing the JW religion. I really don't feel the need for certainty any more. 'Certainty' takes the mystery and fun out of life.
Oh yeah, if you're not ready to give up on God just yet, read Karen Armstrong's 'Case for God'. It's one of the best books that I've read. Armstrong argues that that the childish debates and struggles we have over God are based on how we define God in the first place. It was a real eye-opener for me.