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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.)
So many! Just a few that come to mind: compound interest, observation selection effect, bias, differential technological development, function, present value, correlation, subjective experience, trivial inconvenience, self-amplifying capacity, expectation, etc.
Also, many conceptual distinctions in philosophy are useful: analytic-synthetic, a priori-a posteriori, de re-de dicto, phenomenal-intentional, proximate-ultimate, intrinsic-instrumental, factual-normative, contingent-necessary, etc. Taxonomies of views in a given field, too, can be quite helpful in conceptualizing the relevant boundaries (e.g. Chalmers on views about consciousness or Miller on views in metaethics).
I guess one could say the concept of a useful concept is itself quite useful.
Here is a PDF for that.