+1 I'd recommend reading The Boglehead's Guide to Investing. And checking out the forums over here: http://www.bogleheads.org/ Amazingly intelligent discussion going on.
Well, I think about 75% of mutual funds underperform market index funds that charge fractions of the fees. And those are managed by pros with years and years of training and experience.
It's a tough world for the individual. Yes, the risk is higher, but the reward is also higher.
One of the first things to learn is your own risk tolerance. That's key.
As another broad generalization, you can have higher returns than index funds (aka the market) only at the cost of increased risk.