[kylebrown]

Try the paper "The Winners and Losers of the Zero-Sum Game" by Lawrence Harris. I found it most enlightening. I'm paying it forward, since it was here that I saw it recommended (hat tip to tptacek iirc).

What makes a zero-sum game so hard? Competition. Read Nate Silver's book chapter on Poker for a great explanation of that. In summary: he won a lot of money playing online poker when the services were growing and there was a large supply of fishy players (losers). When the growth of new poker players stopped, and the fish had mostly left (after losing their money), then he started losing.