If you are twisted (like me) this is a great read.
"The Loser’s Curse: Overconfidence vs. Market Efficiency in the
National Football League Draft" by Massey and Thaler
For some reason i can't get the link to work from here, but the one over at Finance Professor works just fine.
This point sort of puts a damper on the web-euphoria we've experienced over the last 10 years.
An interesting and important question is how confidence depends on the amount of information available. When people have more information on which to base their judgments their confidence can rationally be greater, but often information increases confidence more than it increases the actual ability to forecast the future.