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I often find that my understanding of the world is strongly informed by a few key concepts. For example, I've repeatedly found the concept of opportunity cost to be a useful frame. My previous post on privileging the question is in some sense about the opportunity cost of paying attention to certain kinds of questions (namely that you don't get to use that attention on other kinds of questions). Efficient charity can also be thought of in terms of the opportunity cost of donating inefficiently to charity. I've also found the concept of incentive structure very useful for thinking about the behavior of groups of people in aggregate (see perverse incentive).
I'd like people to use this thread to post examples of concepts they've found particularly useful for understanding the world. I'm personally more interested in concepts that don't come from the Sequences, but comments describing a concept from the Sequences and explaining why you've found it useful may help people new to the Sequences. ("Useful" should be interpreted broadly: a concept specific to a particular field might be useful more generally as a metaphor.)
Extracting examples from some of my past comments: proving too much, selection bias, Nash equilibrium, denotation & connotation, insight & intuition as recognition.
Others from game theory & economics: free riders & hold outs, the tragedies of the commons & the anticommons, precommitment, coordination games, average-marginal confusion, thinking at the margin.
Two more that're a bit Sequences-esque but which I like so much and use so often I'll highlight them anyway:
Reference class forecasting. It doesn't just help one beat the planning fallacy by predicting durations; it can predict probabilities too, and one can apply it to other people as well. Will a flaky friend show up to a meal? Run a reference class forecast. Am I likely to get a "yes" if I ask someone for such & such a favour? Run a reference class forecast. How likely is it that a claim an acquaintance has just made is true? You get the idea. (Guess I should throw in reference class tennis as well. Fortunately, just as with actual tennis, it's hard to play reference class tennis on my own, so reference class tennis isn't too big a risk when I do solo reference class forecasts.)
The typical mind fallacy, which I deliberately use as a heuristic. If I'm trying to explain someone else's behaviour (or figure out an aspect of someone else's psychology more generally), I use myself as a model and ask myself why I might do the same thing. This may give an incorrect answer, but it gets me an answer faster than trying to derive someone else's behaviour from first principles, and I can always introspect further to guess how well my self-derived answer might generalize to others.
Slightly less well-known cognitive biases: just world fallacy, mean world syndrome, and that one bias that really needs a name where people underestimate mundane risks and overestimate dramatic risks.
Statistics: skewness (and medians as outlier-&-skew-resistant averages), standard error (and error bars more generally), systematic error vs. random error, effect size, power, meta-analysis, bootstrapping & Monte Carlo methods, sampling methods.
Are you distinguishing between this phenomenon and the availability heuristic?