Tabletop Roleplaying Games: Two main benefits:
Problem Solving and Lateral Thinking: With a good GM, you should be able to be challenged in ways that you can beat, but aren't obvious. Particularly in GURPS, it doesn't devolve into "I hit the monster until it dies". Ever thought about how you'd negotiate with terrorists? Escape imprisonment? Survive a zombie apocalypse as a vlogger newscrew? When you play in person, you're forced to think really fast. ("I can attack this which is doing the most damage, but it'd take a while and there's still lackeys", "Do I start healing this guy now, or just finish the fight?", "What can I possibly say to make this seem innocuous?"). Also teaches the importance of planning ahead ("What can I say to the guard so that X will agree with me, even though we can't talk?").
You also have rules to brush up against, and designing a good character is difficult. Do you try and remain a generalist? Specialize at something really useful? What's your role in the party?
Social: You have to play and deal with other people. You play the game in-person and it is prone to making a lot of in-jokes. Brings friends together and whatnot. It also has a lot of the same benefits as improv with regards to trying out new character traits. You're not supposed to be pretending to be yourself, and you can try out personality tweaks in a way that's not reflective of yourself. I played outgoing characters before I became less awkward as a person.
I'd say especially running tabletop role-playing games.
You have to balance different players' tastes--which means learning to measure their tastes. You have to predict the actions of the people you know and plan for different choices--and you will be surprised by things they decide to do. You have to be organized, and especially you have to figure out how organized you have to be.
This is a place to talk about hobbies that teach rationality lessons. I'll start with a few:
Programming - Lets you practice math and logic, and gain an intuitive understanding of computation. Also teaches that sometimes you can't argue with reality, but you can fix it. (Also suggested recently by ciphergoth.)
Cryptography - That is, designing/breaking cryptosystems and security protocols. Lets you practice math, logic, and probability theory. Also teaches that almost all human ideas are wrong. After doing this for a while, whenever you encounter a new idea (including your own), you'll instinctively think "If I can't find anything wrong with this, it's probably because I'm not smart or knowledgeable enough or haven't tried hard enough."
Science fiction - Reduces status quo bias and gives interesting insights. Also teaches that the way a society is organized depends a lot on the set of technologies it has access to, so if you don't like how your society works, one lever you have is to change that set.
Video games - Teaches that conventional "success" in life is not much less arbitrary than "winning" in a video game. They're both fine for a diversion, but there are more interesting goals to pursue.
A couple others I've seen suggested in recent comments:
Chess - According to JGWeissman, it "teaches you to carefully consider the consequences of your available actions and choose the action with the best consequences". (I've only played a few games of Chinese Chess, and for me, the lesson was that I don't like competition, and I should look for things to do that nobody else is doing.)
Poker - Lets you practice statistics and overcoming emotional biases.