Well, at least if you're me.
I've found there is one big thing that has made a lot of difference in my writing--creativity level, paragraph structure, word choices--and that is reading what other people have written. Not necessarily critiquing, that's good too, but just reading reading readingreadingreading. And I don't mean novels. I mean short stories.
Why do I like short stories? Because they can be read and analyzed easily in one sitting, and if you're me, you can read them by the fistful between killing things in World of Warcraft and watching the Food Network (what? It's a hobby, don't judge me).
Also, if you're reading things from a published zine, you know one thing about these writers--they're where you want to be. Now, I'm not saying copy someone. That's not the point. But read what they've written, see what they're doing, familiarize yourself with what that particular market wants (and if you can't stand the stories, move on to another e-zine). If you're like me, you'll see your writing start to change for the better.
Here are a couple of my favorite online magazines.
Strange Horizons http://www.strangehorizons.com/fiction.shtml
Beneath Ceaseless Skies http://beneath-ceaseless-skies.com/toc.php