I think that the first lesson is patience. Be patient with the process, be patient with the staff, and be patient with your fellow candidates.
As with all final exercises, it's just that: an exercise. Though some of the "stuff" may not make sense from time to time (read: scenarios), they are designed to exercise the candidates (eg: you) in certain procedures and situations.
As for the process itself: it works, and it works well.
As for the wargaming process, remember that for the COA wargame, don't go the nth degree. It's only a COA comparison: that's it, that's all. The plan will NOT be perfect at this point, the COAs will only be "good enough" to give the commander options. For the Plan Wargame, this is where you go the nth degree, and only game vs. the enemy most likely, but "don't forget" the 'most dangerous'. (that's another point: the most dangerous, to me, in every situation is that an alien force comes to Earth, joins the dark side, gives them evil technology, and we end up in the SuperAnts' sugar mines. But I digress) And remember, if at any point in the plan wargame if you "lose", just reset a turn and make it so that you *do* win. It's not cheating, it's why we do the wargame.
This and stay sober.