There are some special cases. If someone thinks his life is worthless if he doesn't have something that could be bought or done with a $1,000,000, then the gamble could be justified. The thing that he buys pumps up the utility so much that it's more than thousands times the utility of $1000. But this is probably a really rare case.
Medical issues that make life miserable but can be fixed with ~1M$ would be a (bit more concrete) example. Relatively rare, as you said.
I haven't been able to find the source of the idea, but I've recently been reminded of:
This is, of course, based on the Multiple Worlds Interpretation: if the lottery has one-in-a-million odds, then for every million timelines in which you buy a lottery ticket, in one timeline you'll win it. There's a certain amount of friction - it's not a perfect wealth transfer - based on the lottery's odds. But, looked at from this perspective, the question of "should I buy a lottery ticket?" seems like it might be slightly more complicated than "it's a tax on idiots".
But I'm reminded of my current .sig: "Then again, I could be wrong." And even if this is, in fact, a valid viewpoint, it brings up further questions, such as: how can the friction be minimized, and the efficiency of the transfer be maximized? Does deliberately introducing randomness at any point in the process ensure that at least some of your MWI-selves gain a benefit, as opposed to buying a ticket after the numbers have been chosen but before they've been revealed?
How interesting can this idea be made to be?