Getting Students to Not Fear Confusion I'm a fifth year grad student, and I've taught several classes for freshmen and sophomores. This summer, as an "advanced" (whatever that means) grad student I got to teach an upper level class: Intro to Real Analysis. 
Since this was essentially these student's first "real" math class, they haven't really learned how to study for or learn this type of thing. I've continually emphasized throughout the summer that they need to put in more work than just doing a few homework problems a week. 
Getting a feel for the definitions and concepts involved takes time and effort of going through proofs of theorems and figuring out why things were needed. You need to build up an arsenal of examples so some general picture of the ideas are in your head.
Most importantly, in my opinion, is that you wallow in your confusion for a bit when struggling with problems. Spending time with your confusion and trying to pull yourself out of it (even if it doesn't work!) is a huge part of the learning process. Of course asking for help after a point is important too.
Question: What is a good way to convince students that spending time lost and confused is a reasonable thing and how do you actually motivate them to do it?
Anecdote: Despite trying all quarter to explain this in various ways, I would consistently have people come in to office hours who had barely touched the homework because "they were confused". But they hadn't tried anything. Then when I talk around an answer to try to get them to do certain key parts on their own or get them to understand the concept involved, they would get frustrated and ask "so does it converge or not?!"
It is incredibly hard to shake their firm belief that the answer is the important thing. Those that do get out of this belief seem to get stuck at writing down a correct proof is the important thing. None seem to make it to wanting to understand it as the important thing. (Probably a good community wiki question? Also, real-analysis might be an inappropriate tag, do what you will)
 A: Has anyone tried as an additional technique the "fill-in" method? 
This is based on the tried and tested method of teaching called "reverse chaining". To illustrate it, if you are teaching a child to put on a vest, you do not throw it the vest and say put it on. Instead, you put it almost on, and ask the child to do the last bit, and so succeed. You gradually put the vest less and less on, the child always succeeds, and finally can put it on without help. This is called error-less learning and is a tried and tested method, particularly in animal training (almost the only method! ask any psychologist, as I learned it from one). 
So we have tried writing out a proof that, say, the limit of the product is the product of the limits, (not possible for a student to do from scratch), then blanking out various bits, which the students have to fill in, using the clues from the other bits not blanked out. This is quite realistic, where a professional writes out a proof and then looks for the mistakes and gaps! The important point is that you are giving students the structure of the proof, so that is also teaching something. 
This kind of exercise is also nice and easy to mark! 
Finally re failure: the secret of success is the successful management of failure! That can be taught by moving slowly from small failures to extended ones. This is a standard teaching method. 
Additional points: My psychologist friend and colleague assured me that the accepted principle is that people (and animals) learn from success. This is also partly a question of communication. 
Another way of getting this success is to add so many props to a situation that success is assured, and then gradually to remove the props. There are of course severe problems in doing all this in large classes. This will require lots of ingenuity from all you talented young people! You can find some more discussion of issues in the article discussing the notion of context versus content.  
My own bafflement in teenage education was not of course in mathematics, but was in art: I had no idea of the basics of drawing and sketching. What was I supposed to be doing? So I am a believer in the interest and importance of the notion of methodology in whatever one is doing, or trying to do, and here is link to a discussion of the methodology of mathematics. 
Dec 10, 2014 I'd make another point, which is one needs observation, which should be compared to a piano tutor listening to the tutees performance. I have tried teaching groups of say 5 or 6, where I would write nothing on the board, but I would ask a student to go to the board, and do one of the set exercises.  "I don't know how to do it!" "Well, why not write the question on the board as a start." Then we would proceed, giving hints as to strategy, which observation had just shown was not there, but with the student doing all the writing.  
In an analysis course, when we have at one stage to prove $A \subseteq B$, I would ask the class: "What is the first line of the proof?"  Then: "What is the last line of the proof?"  and after help and a few repetitions they would get the idea.  I'm afraid grammar has gone out of the school syllabus, as "old fashioned"! 
Seeing maths worked out in real time, with failures, and how a professional deals with failure, is essential for learning, and at the reasearch level. I remember thinking after an all day session with Michael Barratt in 1959: "Well, if Michael Barratt can try one damn fool thing after another, then so can I!", and I have followed this method ever since.  (Mind you his tries were not all that "damn fool", but I am sure you get the idea.) The secret of success is the successful management of failure, and this is perhaps best learned from observation of how a  professional deals with failure.  
A: One important thing that helped me to get through Intro To Real Analysis is doing some reading on logic and introduction to proofs. Learning some proofs techniques, what are the ways to attack a problem. That's what students never learn in Calculus and that's the main reason why it's hard to go from Calculus to Real Analysis. 
So, what I would recommend is offering supplementary readings on that subject: logic and introduction to proofs. The book I used was S. Lay, Analysis with introduction to proofs. Logic and intro to proofs are the first few chapters, probably the best in the whole book (I didn't particularly care about the "analysis" part). I'm sure there are lots of other similar books and well but that's the one that helped me to make a good start with Baby Rudin.
A: Only part of this will be an attempt at an answer, because my first reaction was, bluntly, "fat chance." American students-and I see yours are American-have come to you via a system that's much better at turning talented students' ambitions towards high grades than towards deep understanding. Even in an upper-level math class, the majority of your students are not going to be mathematicians. Those who have arrived at the last year or two of their education without truly engaging are unlikely to be converted even by a master teacher, for whom the best opportunity was much earlier on.
All pessimism aside, what you can do depends a lot on how free you are in course design. If you give a course in which the grade is decided by whether weekly homework assignments and a couple exams come in with accurate solutions, your students will try to produce a decent simulation of an accurate solution as efficiently as possible, with some pleasant exceptions. Various (untested) ideas: Involve writing in your assignments, both when a student can and can't come up with a solution. In the former case, ask them to express carefully and fully what they've thought of, and what they've stumbled on. This will, naturally, often lead to more success. When they do succeed, ask them to write some thoughts about different variations of the problem, which they should invent themselves: why is this hypothesis necessary? Could I weaken it? What if I tweak this series slightly? You might show them this advice from Terry Tao, as well as his notes on valuing partial progress and on asking yourself dumb questions, to this end.
The general principle I'm proposing is that if you want students to spend time lost and confused, reward them for doing so and then telling you about it. I'd even consider grading better a student who couldn't prove the MVT from Rolle's Theorem but wrote down three different plausible, thorough attempts than one who just said "Define $g(x)=f(x)-\frac{f(b)-f(a)}{b-a}x-f(a).$ Rolle's applies to $g$ at $c$. MVT is satisfied there for $f$." The exams, naturally, wouldn't bear the same conditions, since nobody should get out of real analysis without being able to do that last.
A: I have done a lot of office hours, along the way, on math, physics, and quantitative economics.  My thoughts:
1) Students need to get over 'math phobia'.  Many students fear being 'wrong', because that is seen as failing, a character (or deeper) defect, or whatever.  Because math has exact answers, they fear that.
2) Rather, they need to see it is a 'puzzle', that, like a crossword puzzle, is entertaining (hopefully) or at least not judgemental.  Lots of people don't finish crossword puzzles, but they try and enjoy the process.
3) In anything, it is important to realize that the struggle is the journey.  I had a professor who always told students "for a student, confusion is a state of grace".
These are vague, but it is really more psychological than anything else, in my experience.  People don't feel as stressed trying to learn to play tennis or golf, or trying to rock climb, etc.; they know that it is a long path to mastery, and the first few attempts are the hardest.  But, with math, they give up - fearing they will never succeed. 
I have done a lot of my teaching one-on-one, and always ask the student to try the next step and I will help them without judging them (a safety net), as well as reinforcing every time they make a move in the right direction (even if it is actually wrong).  With learning a sport they get their own positive feedback, because they know their goal - to hit the ball, straight, for over 200 yards. And when they hit a golf ball well (which they know if they did), even if it is infrequent, it is both something they apprehend and feel good about. 
If I had one really big piece of advice, however, that comes from lots of time as a TA, it is this: don't let your own ego get in the way.  Too often I find that the problem is not the student but the professor.  Everyone knows that you know the answer.  But, I believe, the art of teaching is knowing what the student doesn't know now that they need to know next.  Too often I see a simple idea made into a complex question that violates this.  For example, physicists are often terrible at this: while introducing Newton's laws, they quickly move to problems of a frictionless plate on ice subject to a force, with and object on that frictionless plate subject to another force, and want the student to find the position of the object over the ice as a function of the displacement of the bottom plate...not really helpful.  
There is a perhaps apocryphal story of Einstein helping a child with algebra.  When the kid complained he (actually, I believe it was a she) couldn't enough of the problems right, Einstein responded along the lines of 'if you think you have trouble solving most of the problems, don't worry - you would be shocked to see how few of the problems I work on that I can't answer'.  
A: (In addition to other good answers, and echoing some parts...) I think it's not so much that students fear confusion, but see confusion as a failure. Not failure to understand (because "understanding" is not their goal), but failure to be set up to get the grade they want (in many or most cases...)
Unless we can figure out how to reward students, in terms that they can appreciate, for engagement sufficient to be confused, and then work through it, they'll have no motivation to do so or think that way. The "it's good for you" argument has limited impact, if it's not manifestly/visibly helpful, by their (often-misguided) criteria.
There is also an unfortunate undercurrent of a belief system that "sufficient formalization", a.k.a., "a sufficient system of rules", or "study of first-order predicate logic", will remove the complicated, amorphous need for thinking in a new way, with an awkward transition to that new way. In my observation, this is (unfortunately) attractive because it allows students to keep the mathematics "external" to them, excusing them from thinking much about it. "Just learn the rules", as opposed to "understand why so-called rules are intended to be one choice of codification of aspects of reality".
And, indeed, quite a few confusions do concern convention, rather than mathematical fact. Of course few people can intuit convention, no matter how reasonable. Being confused about choices of convention is fine, and does not bear much reflection. Being confused about facts of course does deserve further reflection. Helping students distinguish the two sorts of issues is perhaps one of our main jobs, I think.
I would go so far as to claim/observe that the epsilon-delta "definition" of "limit" is itself only one possible convention making (more) precise a primitive, colloquial sense of "limit". In particular, many of the features are matters of convention, so cannot be "deduced", and this sort of complication deserves explicit recognition.
