The development of new interface tools for intelligence analysis requires a thorough knowledge of the analytical process, and a comprehensive understanding of analyst activities that can best benefit from intelligent user interface technology. However, due to the secretive nature of the domain, there have been relatively few public studies examining analyst behavior. In this paper, we present the results from a user study designed to explore the ways in which analysts gather and process information. The study asked three subjects to perform two different analytical tasks. The tasks were designed to gather observations from two points in the analytical process: (1) the beginning of an investigation, where little context is available, and (2) the middle stages of the analytical process, where there can be significant context based on gathered evidence and developed target models. We discuss both the study methodology and key results. Our results include observations of how analysts formulate information requests and process the results.