I'm planning on applying for a math research program over the summer, but I'm slightly nervous about it just because the name math research sounds strange to me. What does math research entail exactly? For other research like in economics, or biology one collects data and analyzes it and draws conclusions. But what do you do in math? It seems like you would sit at a desk and then just think about things that have never been thought about before. I appologize if this isn't the correct website for this question, but I think the best answers will come from here.
[Math] mathematical research like
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Largely (very largely, so please take everything here with a grain of salt), there are two types of mathematical research, commonly referred to as 'theorem proving/problem solving' vs. 'theory building'. Typical characteristics of theorem proving/problem solving type research is to try and tackle a famous open problem, usually stated in the form of a conjecture as to the validity of a statement or the specification of a problem. Quite often this will entail spending a lot of time learning the relevant material, analyzing particular attempts at solutions, trying to figure out why they don't work, and hopefully come up with some improvement to an existing attempt, or a whole new attempt, that has a good change of working. Very famous open-standing questions include: The Riemann hypothesis and $P\ne NP$ (which are examples of theorem proving) and the solution of the Navier-Stokes equations (an example of problem solving), all three are in the Clay's Institute millennium problems list.
Theory building is a somewhat different activity that involves the creation of new structures, or the extension of existing structures. Usually, the motivation behind the study of these new structures is coming from a desire to generalize (in order to gain better insight or be able to apply particular techniques of one area to a broader class of problems) or there might be a need to these new structures to exist, due to some application in mind. Typical activities would include a lot of reading on relevant structures, understanding their global role, figuring out what generalizations or new structures would make sense, what the aim of the new theory will be, and then a long process of proving basic structure theorems for the new structures that will necessitate tweaking the axioms. A striking example of this kind of research is Grothendieck's reformalization of modern algebraic geometry. Cantor's initial work on set theory can also be said to fall into this kind of research, and there are many other examples.
Of course, quite often a combination of the two approaches is required.
Today, research can be assisted by a computer (experimentally, computationally, and exploratory). Any mathematics research will require extensive amount of learning (both of results and of techniques) and will certainly include long hours of thinking. I find the entire process extremely creative.
I hope this helps. As should be clear, this is a rather subjective answer and I don't intend any of what I said to be taken to be said with any kind of mathematical rigor.