So after reading this and the comments, here is what I think: People are right that when you bundle in preparation and time delays with the uncertainty, what you're stating is not actually an example of the paradox, because the situation is more complex than actually being a choice between 3 fungible options. On the other hand, I think you're right if you're pointing out that in real life you normally don't HAVE 3 fungible options, and especially due to time and uncertainty considerations like the ones you specify, a lot of seemingly fungible options do not in fact funge. The allais paradox is an example of taking common sense thinking about the way to make YOUR kind of choices and applying it to a situation where the extra stuff that's present in reality is not actually relevant, thus the paradox.
Followup to : Is risk aversion really irrational?
After reading the decision theory FAQ and re-reading The Allais Paradox I realized I still don't accept the VNM axioms, especially the independence one, and I started thinking about what my true rejection could be. And then I realized I already somewhat explained it here, in my Is risk aversion really irrational? article, but it didn't make it obvious in the article how it relates to VNM - it wasn't obvious to me at that time.
Here is the core idea: information has value. Uncertainty therefore has a cost. And that cost is not linear to uncertainty.
Let's take a first example: A is being offered a trip to Ecuador, B is being offered a great new laptop and C is being offered a trip to Iceland. My own preference is: A > B > C. I love Ecuador - it's a fantastic country. But I prefer a laptop over a trip to Iceland, because I'm not fond of cold weather (well, actually Iceland is pretty cool too, but let's assume for the sake of the article that A > B > C is my preference).
But now, I'm offered D = (50% chance of A, 50% chance of B) or E = (50% chance of A, 50% chance of C). The VNM independence principle says I should prefer D > E. But doing so, it forgets the cost of information/uncertainty. By choosing E, I'm sure I'll be offered a trip - I don't know where, but I know I'll be offered a trip, not a laptop. By choosing D, I'm no idea on the nature of the present. I've much less information on my future - and that lack of information has a cost. If I know I'll be offered a trip, I can already ask for days off at work, I can go buy a backpack, I can start doing the paperwork to get my passport. And if I know I won't be offered a laptop, I may decide to buy one, maybe not as great as one I would have been offered, but I can still buy one. But if I chose D, I've much less information about my future, and I can't optimize it as much.
The same goes for the Allais paradox: having certitude of receiving a significant amount of money ($24 000) has a value, which is present in choice 1A, but not in all others (1B, 2A, 2B).
And I don't see why a "rational agent" should neglect the value of this information, as the VNM axioms imply. Any thought about that?