I like asking Professors what they think a Ph.D. is supposed to teach you. Recently I got an answer I like from one of my Professors. Basically he said, and I apologize because I am paraphrasing, students are supposed to learn how to come up with problems, identify the "good" ones and solve them. This is the best answer yet!
But if you can't come up with problems of your own, dropping another quote "great artists steal". Yahoo research labs have published a list of "Key Scientific Challenges" which can help you. If that didn't grab your attention they also mentioned something about 5000$ :).