Whether you have met your friends recently, or have known them since the good ol' days, they will always do something that will tilt your keel, and force you to ask yourself:"How well do I really know him/her?" Here are some steps to truly understanding your friend.

Get to know their family and other friends. What kind of people do they associate with? How close are they with their family? So when over at their house ask to meet their family and spend time with their other friends. If they are hesitant, remember to give them time. Spend some time alone with them before barging in on their life.
Discuss their obsessions in a nice way because they will appreciate your interest. You will get to know what makes them tick and they will get to know what makes you tick.
Read what they read, hear the music they hear, watch the movies and plays they watch, go to the places they frequent. To know a soul intimately, you have to be that soul. Yodel with them in their cowboy hats.
"When you die, what would you like engraved on your gravestone?" What does he want to be remembered as? This idealized self-image is the one he is always reaching for, and which explains a lot of his actions.
Is there some topic which makes him grossly uncomfortable? Which topic puts pauses on his normally eloquent speech? Ask yourself why. Does he have insecurities and bad family stories relating to the topic, is he trying to give a false impression?
Listen. "What we say is important... for in most cases the mouth says what the heart is full of."-Jim Beggs. The more you listen to what your friend says , the more you understand.
Try to get to know them, but dont force them to talk about themselves. It may be because they are uncomfortable with the subject you were talking about, they may think you dont care about their problems if you push them too far to talk.
Who they are with says alot about them. Especially signifacant others, spouses, or boyfiends/girlfriends. Dont put down oyur friends other friends! It is probably really annoying to them, and they will think you are self-centered (you think alot about yourself but not other people).
A corollary of the previous point: bite down on any criticism you may have. People want friends who appreciate them as they are. Listen and empathize: this will encourage your friend to speak expansively, thus resulting in a greater understanding on your part.