Here are some tips that come to mind:
From my experience, interactive scripting languages (I use Python) can be a great help. You can write a simple framework to deal with binary streams and some simple algorithms. Then you can write scripts that will take your binary and check various things. For example:
Do some statistical analysis on various parts. Random data, for example, will tell you that this part is probably compressed/encrypted. Zeros may mean padding between parts. Scattered zeros may mean integer values or Unicode strings and so on. Try to spot various offsets. Try to convert parts of the binary into 2 or 4 byte integers or into floats, print them and see if they make sence. Write some functions that will search for repeating or very similar parts in the data, this way you can easily spot headers.
Try to find as many strings as possible, try different encodings (c strings, pascal strings, utf8/16, etc.). There are some good tools for that (I think that Hex Workshop has such a tool). Strings can tell you a lot.
Good luck!