Ph.D.
If you are considering a Ph.D., I warmly recommend Ronald T. Azuma's So long, and thanks for the Ph.D! The article lists the major obstacles and challenges that you will encounter, and the skills needed to deal with them. Although it applies to Computer Science studies in the United States, it holds true for most other fields and countries too.
You don't need to be a genius to earn a Ph.D. (although it doesn't hurt). But nobody finishes a dissertation without being tenacious. A dissertation usually takes a few years to complete. This can be a culture shock to former undergraduates who have never worked on a project that lasted longer than one quarter or semester (at the end of which, whatever the state of the project, one declares victory and then goes home). No one can tell you in advance exactly how long the dissertation will take, so it's hard to see where the "end of the road" lies. You will encounter unexpected problems and obstacles that can add months or years to the project. It's very easy to become depressed and unmotivated about going on. If you are not tenacious about working on the dissertation, you won't finish.
On a sidenote, I suppose it is in place to mention that I defended my dissertation today, and that I am feeling rather pleased about that.