Most functions are not linear. This may seem too obvious to be worth mentioning, but it's very easy to assume that various functions that appear in real life are linear, e.g. to assume that if a little of something is good, then more of it is better, or if a little of something is bad, then more of it is even worse (apparently some people use the term "linear fallacy" for something like this assumption), or conversely in either case.
Jordan Ellenberg discusses this phenomenon at length in _How Not to Be Wrong: The Power of Mathematical Thinking_. See here for some relevant quotes (a blog post by one of the targets of Ellenberg's criticism).
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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.)