I've found playing Magic the Gathering improves my ability on this. There is chess, too...but IMO you encounter more novel situations more often in MTG where things will cost you. It's interesting in the sense that sometimes things proceed in a very straight forward manner, but usually (sometimes unknowingly, if you're not careful) there are several branches to take, and doing things just slightly sub-optimally will cost you big in the end. Some games every decision is crucial...do a mulligan this hand knowing what he's playing, I can play 3 different lands on turn one, but which one best sets me up for how this match is likely to proceed, etc. I still don't think I'm naturally good at this, but I've noticed I've been able to better force myself into a mindset to be very deliberate for short periods on account of it.
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