A landmark 2014 study at the University of California, Davis (Gruber, Gelman & Ranganath, Neuron) showed that when participants were in a high-curiosity state, fMRI revealed increased activity in the hippocampus and the dopaminergic midbrain - and they remembered incidental information presented during that state significantly better, even 24 hours later. Curiosity literally primes the brain to encode whatever comes next.
Psychologists distinguish two types: 'interest-curiosity' (the pleasurable pursuit of new information) and 'deprivation-curiosity' (the itch to close an information gap). Both engage reward circuitry, but deprivation-curiosity - the feeling of almost-knowing - is the more powerful memory enhancer, per work from the Max Planck Institute for Human Development.
Curiosity is also associated with measurable life outcomes. A long-running study from the Karolinska Institutet found that higher trait curiosity in middle age predicted better cognitive function in older adulthood, independent of education and IQ. The American Psychological Association lists curiosity as one of the five strongest protective traits against cognitive decline.
Practically: small, repeated 'why does that happen?' questions throughout the day - answered briefly with reliable sources - produce more durable knowledge than long study sessions, by leveraging the spacing effect (Cepeda et al., Psychological Bulletin 2006) and active retrieval.