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Scouting is an integral part of the game, and essential for any sort of progress in skill. Knowledge of your enemy's actions is vital to making good and effective decisions throughout the game. Often, when asking a more experienced player how they should improve, the answer is 'scout more' or 'scout better'. However, what does this mean exactly?
Just blindly sending your units out to random positions on the map serves little purpose. So here are a few pointers on when and how to scout, and most importantly, why it's important in the first place.
 Purposes for Scouting
1. Build Order
At the beginning of the game, you know nothing about your enemy. After your initial scout finds the enemy, try to stay in his base for as long as possible to try to find out what his build order is. Send scouts periodically during the beginning phase of the game so you know what you are up against.
A very simple example is Zerg versus Protoss. With your initial scout (either drone or overlord), if you see a double-gateway build, you know he is rushing or building up an early attack force. Whereas if you see single gateway to cybernetics core, you can deduce that he is teching. Without this information, you would be playing blind and trying to guess at his plans.
The good thing about build orders is that once you reach a certain (low-moderately skilled) level of play, it is not difficult to figure out what your enemy is doing, as faking a build order to provide you with false information is usually not worth the effort.
Later on, scouting an opponent's base for tech buildings allows you to prepare in advance for your opponent's units. For example, if you spot a Greater Spire, you can expect either Guardians or Devourers to make an appearance.
2. Army Position and Composition
The location of your opponent's army is very important. Armies are generally mobile, and in the later stages of the game it becomes increasingly difficult to defend all of your expansions well. Thus, knowing the location of your opponent's army will allow you to place your forces accordingly - either defensively, against his attack, or offensively, striking a hole in his defenses.
In addition to location, the composition of the army is also important. Once a player gains enough knowledge of the game mechanics, knowing the effective counters to various units becomes natural, and the player can prepare in advance for what he knows his enemy has.
3. Scouting Expansions
Possibly one of the most important functions of scouting is to discover your opponent's expansions (or desire to expand) early, and thus enable you to stop them. An expansion is most vulnerable when it is in the process of being built, or just being built. Once an expo is established, it is significantly easier for the defending player to defend it. In higher level games, this type of scouting occurs frequently, as an extra expansion is often enough to tip the balance for the player to win the game.
 When to Scout
This is a very difficult question to answer. The simple answer would be 'all the time', but of course its impractical and inefficient to follow this doctrine. A more accurate but equally useless answer is 'you will eventually feel when it is the right time to scout'. At a certain level of skill, you will gain a gut feeling that tells you when and where to scout. Things that your brain pieces together behind the scenes while you are busy making decisions, will be evaluated by your brain and then bubble up as a thought. "He has a small army, and he isn't teching hard. He must be expanding. Go scout it out", "His army at his main base is too small, he must be setting up an attack", are examples of how you can evaluate the present circumstances in the game to come to conclusions on your enemy's actions BEFORE sending out a scout. This is learned through experience and observation.
Before you gain this sense though, there are several key points in the game when you should scout.
1. At the beginning. Discover your enemy's location and his build order. 2. When you finish your first tech (Tanks, Lurkers, High templar/Reaver/Corsair). Your opponent's tech choice will be coming into play at around this time as well. 3. Whenever you are not in a major battle, after the first big battle of the game. Search for new expansions.
These are just guidelines that will help put some structure in the 'scout all the time' doctrine.
 How to Scout
This will be covered in more detail in the entries for specific races.
It is impossible to write down all the information which can be gathered by scouting, and the appropriate actions to take in response to your new knowledge. However, time and experience will help you develop the sense of when and where to scout. In the meantime, use this guide to help you focus your efforts in improving your game.
You can look before the game, when you are in the chat room, there is a "view map" icon of sorts in the information section on the right. Look for minerals clustered together, as these areas are where the beginning bases will be (remember, the locations are random!). If you're wrong, keep looking. Its also helpful to draw down the map so that you can see through the fog of war (even better is to print out a zoomed out version of the map in the editor; that way you can see creatures and actual details, even if they are random).
Terrans hold the single most powerful scouting tool in the game. The Comsat add-on to the Command Center. Comsat provides instant vision of a large radius at one position of the map for several seconds, revealing units and buildings, as well as cloaked or burrowed units. At a high level of play, comsat is vital to keeping track of the enemy across the map.
Hotkey your Comsat (8, 9 and 0 are common) to allow for quick access. Also build multiple comsats once you expand, as they are invaluable.
Aside from Comsat, Terran have a few choices.
SCVs are often useful scouts, as they are cheap, expendable (you often have 'extra' SCVs), and are available throughout the game. Their ability to 'walk through' units while targeting a mineral patch can also be a useful ability.
Vultures are fast and also relatively cheap. However their mines are great for scouting, as they hamper the movement of enemy troops, and are 'invisible' to most units. Place mines close to mineral lines, near where an expansion command center would be placed (or right under it, to block the enemy from building immediately on the spot), and you have instant notification if the enemy is expanding there.
Wraiths and Science vessels can also be used as scouts later in the game, as they are flying units.
One more method of scouting: Early in the game, before you build your first Comsat, it can be difficult to find out what your opponent is doing. Your marines are slow and easily outnumbered, so it is difficult to scout with them. One option is to build an Engineering Bay outside of your opponent's base (out of sight, of course), and lift off and float it over your opponent to see what he is building. This is usually not necessary, but it remains as an option for you.
Overlords are the best scouts in the game. They are cheap, have high HP, can fly, are relatively fast (with speed upgrade), and a zerg player always has many of them. In the beginning of the game, scout out your opponent's base with your starting overlord and the first overlord that you build (or alternatively, your starting overlord and a drone). Have your overlord hover over your enemy's base until he starts producing anti-air units (marines, dragoons or hydralisks). The ability to effortlessly discover your opponent's build order is priceless, so always take advantage of it.
Later in the game, research the speed upgrade. This will make your overlords invaluable as scouts, as they can watch over every expansion (and run away without dying if they are discovered). Patrol them along places where you believe your enemy will send his army. Unlike the other races, with overlords, a zerg player CAN always be scouting.
Zerglings can also serve as scouts due to their cheap cost and speed. Their ability to burrow makes them very good scouts in theory, however the effort needed to research burrow and hide your zerglings is often not worth it.
Researching the burrow upgrade is good for Zerg as well. Research this upgrade as fast as you can, then send a drone to the mouth of the enemy camp to see enemy movement. Chances are that sooner or later, your drone will be discovered and killed.
Of all the units in the game, the Protoss Observer is probably the best scout of them all (see the pattern?). Inexpensive, flying and cloaked, observers allow unparalleled 'observation' of the battlefield.
Use them to infiltrate your opponent's base and keep an eye on his tech and what he is building. Use them to keep track of possible expansions, army movements, and everything else. The only downfall of observers is you often don't have enough of them to scout what you'd like.
Corsairs are the Protoss' second most useful scout, however due to the nature of the game, they are usually only viable on island maps or versus Zerg. Once you build your first corsair (assuming a corsair-first build against Zerg), send it directly to the Zerg's base to discover his tech and harass his overlords as well.
More commonly used is the Zealot, because it is readily available, has high hp, and with speed upgrade is one of the faster land units in the game. After speed upgrade, because they are so much faster and later in the game less of a money issue, they are commonly used instead of probes to scout expansions and run deep into bases.
Early in the game, probes are useful scouts for the same reason the SCVs are (and probes are slightly easier to control too).