I was trying to come up with a dice game which makes the players' intuition fail.
The game has two dice. Player $A$ and player $B$ have different victory conditions. Player $A$ and $B$ alternate tossing the dice. Player $A$ needs to throw two consecutive $6$ to win. Player $B$ throws both dice together and needs to roll double sixes.
The expected number of rolls for player $B$ before winning is $36$. For player $A$, it is $42$. Should this be enough to convince someone to play as player $B$?
What is the probability that player A wins?
Well, if has not yet rolled a 6 (as is the case at the beginning), $p = \frac{35}{36}(\frac{1}{6}p'+\frac{5}{6}p)$, and if he has rolled a 6, $p'= \frac{1}{6}+\frac{5\cdot 35}{216}p$. Solving this yields
$$p=\frac{1260}{2731}\approx.4614$$
Note that this calculation assumes that A gets to roll first. Otherwise, multiply by an extra factor of $\frac{35}{36}$ to obtain
$$p\approx.4486$$
So in either case B is clearly better off.