[pmalynin]

I think the most interesting application of Monte Carlo that I've come in contact with is for pruning the game trees for Go (the game). It was similar to using minimax, except the tree was only evaluated at points chosen by Monte Carlo and decisions were made from there. From what I know, this seems to be one of the better methods for playing go ATM.

[fryguy]

This approach is known as Monte Carlo Tree Search, which usually follows a weighted search by how good the move is until it finds a leaf in the explored tree. Then it makes a new set of leaves for its moves and scores the path by randomly making moves until the game is finished and propagating the result up the path to the root. The wikipedia article has a better explanation: http://en.wikipedia.org/wiki/Monte_Carlo_tree_search

[troels]

From what I understand, it is also commonly used to predict optimal poker plays.