Personally, I much prefer to do as much of my learning through things like reading and listening and watching rather than anything else. It's just so much easier that way. But I've also learned my fair share of lessons the hard way, such as how hot glass looks like cold glass, and why, as a hockey player, you always keep your head up when crossing the blue line.
I will say this: as much as the easier way of learning is preferable, those tough lessons stick with you. Pretty sure the folks who went through the things below won't soon forget what they've learned!