Watch the Intervals online guitar lesson by Robert Renman from Blues Booster
I try not to think too much when I play, because the more I think, the stiffer my playing becomes. You've probably heard expressions such as "learn music theory, then forget about it and just play". There's truth to that. In general, the more you know, the better. It does not mean you have to use everything you know, all the time, but it's very helpful, in that guesswork is eliminated. If you really know it, you don't have to think about it, and this knowledge is ingrained into your playing, without you having to think about it. In other words, it's become a part of you. This leads us to the first concept, Intervals. If there's is anything I do think about, it's usually the intervals. This is simply a way to refer to each note of a scale. Let's look at the A major scale, and simply refer to each note by a number. We end up with 7 notes, and each of them has it's unique sound. 1,2,3,4,5,6,7. What I mean by that, is that when listen to, for example the 3rd note, it sounds very "fitting", for lack of a better word. In other words, it's a strong note. In comparison, the 4th note, it sounds like it wants to go somewhere. To me, that is a weaker note, but it all depends on how you use it. Where the power lies, is knowing the sound of each interval in relation to the chord being played. If you can immediately tell you are on a root note, 3rd, 5th or a 7th, you have an immediate advantage over those who can't, because that means you will know which are strong notes to focus on (especially when ending licks). The way you learn to hear these intervals is the good old way, by listening to music! There are also websites and apps you can use for ear training. The more you do this, the easier it gets. I strongly recommend spending time on this, because it'll make you a better musician and you'll be able to learn licks and songs faster. It may seem simplistic to refer to the major scale, but the truth is, it's the basis for almost all music we hear today. I highly recommend you learn the major scale in as many was as you can (fingerings, string combinations, etc), because it provides a great foundation for other scales too, as we will see next.
*Please note that around 3 minutes in, I mentioned E is the 1 for A. That was a mistake - E is of course the 5th in relation to A. In relation to D, the note E is the 2nd.