- Corroborating that the event actually happens.
- Determining the cause for that event.
The second step is also extremely important, and it's the step that most of these people want to skip. They will spend enormous amounts of time and effort to convince themselves and other people that the extraordinary event is indeed happening... and then just jump to their preferred conclusion, without even attempting to corroborate if that's the true cause.
For example, many believers will spend lots of time trying to convince people that miracle healings do indeed happen. They then just jump to God.
This is, of course, flawed reasoning. Even if the event were really happening, that still doesn't tell us what causes it. That would have to be determined before we can draw any conclusions.
(Of course it doesn't help much that all such extraordinary claims fail miserably even step 1.)