This was linked to twice recently, once in a Rationality Quotes thread and once in the article about mindfulness meditation, and I thought it deserved its own article.
It's a transcript of a talk by Persi Diaconis, called "The problem of thinking too much". The general theme is more or less what you'd expect from the title: often our explicit models of things are wrong enough that trying to think them through rationally gives worse results than (e.g.) just guessing. There are some nice examples in it.