How do you identify important variables while working on a data set in machine learning?

There are various means to select important variables from a data set that include the following:

1. Identify and discard correlated variables before finalizing on important variables
2. Use visualization for better understanding of correlation.
3. The variables could be selected based on ‘p’ values from Linear Regression
4. Forward, Backward, and Step wise selection
5. Lasso Regression
6. Random Forest and plot variable chart
7. Top features can be selected based on information gain for the available set of features.