In my case I wasn't sure whether I wanted to do a PhD so I went for a Masters first. After finishing a Masters I didn't feel as though I did "real research". To an extent I feel research given to M.S students is not as interesting and will have to be much smaller in scope due to length of time a M.S student has. It seems to me the only way to really know whether you like research is to be in a PhD program doing research. Although this isn't a great answer because it requires investing a lot of time. Thats my experience at least.