This isn't going to be a confession, sorry. The problem is this: is gambling rational?
Very often people say that it is not rational to buy lottery tickets, even going so far as to call lotteries a tax on stupidity. I dislike that joke partly because I think it's more accurate to call it a tax on desperation, and jokes at the expense of the desperately poor aren't funny. Partly, also, because I buy lottery tickets from time to time (despite not being desperately poor), and jokes at the expense of me are never funny. There's also the fact that it is rational to buy a $1 lottery ticket if you get $1 worth of pleasure from it. And fantasizing about what you would do if you won can be very pleasant (much more pleasant if you have a ticket than if you don't). Or at least as pleasant as about a third of a latte. But, here's the problem, is that fantasizing rational? It isn't realistic. It's not like fantasizing about what you might do with money you know you are going to inherit or get from selling your business, say. It's not like fantasizing about spending money you know you have a realistic chance of getting either. It's sheer fantasy. It's not taking pleasure in an aspect of reality but in a kind of escape, or looking away, from reality. And 'irrational' might not be the right word for that kind of pleasure, but it's in the ballpark.
A related issue is the rationality of voting. It's often said that voting is irrational because the cost outweighs the likely benefits, much like gambling. Max Black, as I recall, argues that it can be rational if the stakes are high enough. He's right that the likely benefits need to be taken into account, and not just the odds of one vote being the decider, but I don't think this is enough. In many elections the good candidate is not so much better than the bad candidate that voting is rational on some kind of cost-benefit model. But the idea that voting is irrational immediately raises the question: what if everyone thought that way (and acted accordingly)? It would, most people agree, be bad. Can it really be rational to behave in a way that would be bad if universalized?
It depends, of course, on your conception of rationality. The dominant one is roughly Humean and the alternative I'm groping towards is roughly Kantian. The Humean one counts as rational any act that is an effective means to whatever your ends may be. The more effective, the more rational. So buying lottery tickets is irrational if your end is maximizing your expected wealth, but it might be rational if your end is maximizing your expected pleasure. There is no question, though, whether it is rational to have this or that end.
It is slightly amazing that that conception of rationality has caught on, given how counterintuitive it is. As Anscombe points out, it is irrational to want a cup of mud or to put all your green books on the roof (in the absence of something that makes it rational after all, of course). It is irrational--insane--to want to be killed and eaten. If we are going to distinguish the sane from the insane then I think we need this sense of rationality. The mentally ill are not just inefficient or wrong about the facts. Sometimes their ends make no sense. So I think we need something like the Kantian notion of rationality, and if we use this instead of the Humean one then problems about the rationality of voting go away, while the idea that buying lottery tickets is rational (except perhaps in odd circumstances) also goes away. This also speaks in favour of the Kantian notion.
The problem, of course, is that this notion is obscure. It is closely connected with a notion of humanity, of what it means to be human, and that is difficult terrain. It is also essentially normative, which complicates things. Those aren't reasons to give up on it though.