Honest, and perhaps the best advice will not likely be given by a research program as it does not suite their interests in feeding the academic pyramid scheme.
But here it is none the less: The best advice is to not even start the game. Transfer programs or find another line of work; it is far more likely to be successful than your gamble on an experimental psychological research or teaching careers.
Lots of independent studies now show that your odds of successfully getting a tenure track job within 6 YEARS OF GRADUATING with your PhD is less than 30% (per-recession). Is a decade or more of your life, working 60-90 hours a week to do things that will presumable get you that coveted "academic job" worth it if your odds of success are less than 30%? What will the other 70% do or be left with after playing that game and giving it there all? And this is averaging across all schools. Even the best and top notch R1 programs have very rates of placing students in tenure track positions; how much less attainable is it for people who did not attend the prestigious school, the high ranked program, or worked with the well known advisor?
And for the lucky and fortunate few who actually get a tenure track job, most will have to be willing to move just about anywhere, and/or live in many isolated or remote places (like the desolate landscape of North Dakota), or where they do not know anyone, and if they have a spouse or partner, will likely have serious problems finding work and fulfillment for their significant other. Has any body seen the movie the 5 year engagement? A brilliant depiction of these issues in academic psychology!!
Past posts on this list serve have discussed the injustice, unfairness, and ironically the elitist sentiment of our programs; we operate under the belief of a meritocracy, and this motivates us to keep the system of the research pyramid scheme churning, but this myth is at the expense of grad students sweat, labor, and toil, with little prospect of success or concern for them once they leave the program.
If a department doesn't have the sense or integrity to share these honest odds with their prospective students from the start or early on in their program, then I guess the next best advice to give would be to take every stats class under the sun! This will be far more likely of a transferable skill than much of the theory or niche and detailed seminar courses you may take throughout the graduate program. Then make sure you spend your time talking and getting to know others who can provide you with career insights for what to do with your degree when the tenure track glass ceiling is unattainable, as it will be for most, despite years of hard work and good teaching experience and publication records.
The other advice of teaching actual courses can be good too, but this prepares you for a much narrower field of success—teaching only or tenure track. This will help you make a more convincing case for tenure track, for sure, but many others will have the same idea and it may not actually help you to stand out from the crowd anymore than the next guy who has the same teaching experience but whose research niche is a bit more sexy, or compatible with, for example, a search chair's interest.
So the best advice in sum to experimental students who enter your program, is to think of their work and efforts like this:
If you were going to spent 70-90 hours a week routinely for 5-7 years, and in all likelihood spend another 3-7 years post-docing and/or adjunct teaching, wouldn't you want to make sure that you invested that time and effort in a way that gives the best odds of actually having something to show for it? If so, then spend your time as much as possible in such a way that lets you diversify your portfolio of skills, that lets you cast the widest net of job opportunities and career prospects.
That will likely mean looking for more applied research opportunities, talk to lots of people outside of your field to see what job options are, and take lots of stats. (Versatile PhD.com is a great resource).
If you teach, try to focus on public speaking and presentation skills and planning skills, which will come in handy for lots of careers.