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CaptainOblivious2 comments on Rationality Lessons in the Game of Go - Less Wrong
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I find backgammon to also be a good analogy for life in general, though I don't really have the time to get into all of the details... perhaps the most important lesson, though, is that if you always take the "safest" move, you're almost guaranteed to lose! You need to take risks - smart risks, where the payoff is worth the danger and the danger is non-fatal, but risks nonetheless.
And sometimes, even if you do everything right, you still lose. That's life.
Oh, and another (cynical) lesson: there are times (when you're likely to get gammoned or even backgammoned) when you can't win, you can't break even, and you can't even quit the game. You actually have to play it out to the bitter end, just to see how bad it's going to be.