I got $2,000 on a $2 scratchy on my 14th birthday... My parents bought me a 486 with it
(it was so sweet, what with it's tri-speed caddy mounted CDROM)
I figure if you win less than $10,000, buy yourself a gift, be it a donut and coffee on a $5, or a new car/computer/holiday at $10,000.
$10k-$500k, pay off your mortgage and student loans, and pump the rest into 401k/Super or stocks.
More than $500k, you'd be an idiot NOT to put it in a high interest account and just live off the interest, doing the occasional odd job just so ennui didn't set it.