A related mistake I made was to be impressed by the cleverness of the aphorism "The plural of 'anecdote' is not 'data'." There may be a helpful distinction between scientific evidence and Bayesian evidence. But anecdotal evidence is evidence, and it ought to sway my beliefs.
The selection biases in anecdotes make them nearly useless for updating. A more correct version would be that you can update on the first anecdote, less on a similar second one, even less on a third, and so on. Once you have ten or so anecdotes pointing in the same direction, then extra anecdotes should have essentially no impact.
So yes, the plural of anecdote is not data. Their value does not scale in the same way.
It depends on how independent the anecdotes are.
I wouldn't agree that 100 reviews on TripAdvisor for a hotel should weigh little more than 10 reviews.
David Chapman criticizes "pop Bayesianism" as just common-sense rationality dressed up as intimidating math[1]:
What does Bayes's formula have to teach us about how to do epistemology, beyond obvious things like "never be absolutely certain; update your credences when you see new evidence"?
I list below some of the specific things that I learned from Bayesianism. Some of these are examples of mistakes I'd made that Bayesianism corrected. Others are things that I just hadn't thought about explicitly before encountering Bayesianism, but which now seem important to me.
I'm interested in hearing what other people here would put on their own lists of things Bayesianism taught them. (Different people would make different lists, depending on how they had already thought about epistemology when they first encountered "pop Bayesianism".)
I'm interested especially in those lessons that you think followed more-or-less directly from taking Bayesianism seriously as a normative epistemology (plus maybe the idea of making decisions based on expected utility). The LW memeplex contains many other valuable lessons (e.g., avoid the mind-projection fallacy, be mindful of inferential gaps, the MW interpretation of QM has a lot going for it, decision theory should take into account "logical causation", etc.). However, these seem further afield or more speculative than what I think of as "bare-bones Bayesianism".
So, without further ado, here are some things that Bayesianism taught me.
What items would you put on your list?
ETA: ChrisHallquist's post Bayesianism for Humans lists other "directly applicable corollaries to Bayesianism".
[1] See also Yvain's reaction to David Chapman's criticisms.
[2] ETA: My wording here is potentially misleading. See this comment thread.