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We usually get advice from a friend or books or social media or else, and it only becomes a part of our information, we might learn from it and remember it or not, but if we experience it ourselves, and our experience involves with a feeling,like either it hurts our feeling or become very happy,therefore we learn and remember it better and perhaps change our views toward that matter, so is there any saying or idiom to describe that?

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I like the expression once bitten, twice shy ( it refers mainly to negative experiences which, apparently, are those from which we learn most):

  • Prov. When something or someone has hurt you once, you tend to avoid that thing or person.

  • something that you say which means when you have had an unpleasant experience you are much more careful to avoid similar experiences in the future:

    • Jill: Let's go ride the roller coaster. Jane: No, thanks. I got really sick on one of those once—once bitten, twice shy. I once sent in money for something I saw advertised in the back of a magazine, but the merchandise was of such poor quality I was sorry I'd bought it. I'll never buy anything that way again; once bitten, twice shy.

I think the expression

take the bad with the good, is close to what you are looking for:

  • to accept the unpleasant parts of a situation as well as the pleasant parts.

    • Bringing up children certainly has its problems, but you learn to take the bad with the good.

( from TFD)

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"Lesson learned" usually means you learned something from your own experience. Tone of voice indicates whether it was a good lesson or not.

"I was late, and they left without me! Lesson learned!"

"I revised my resume to one page, and suddenly I had 3 job interviews. Lesson learned!"

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Idiomatically, such "extra-curricular" lessons used to be learned in the school of life, but in recent decades it's become more common to refer to it as the school of hard knocks.

There's an argument for saying the earlier life version could equally well apply to both pleasant and unpleasant "lessons", but in practice they both usually imply the latter. To express sympathy for someone who's just had an unpleasant experience that could be seen as "instructive", we often say...

chalk it up to experience
to accept failure and learn from a particular experience

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A saying:

Experience is the best teacher.

TFD

Tell me and I forget, teach me and I may remember, involve me and I learn.

The above, and slight variations on it, appears widely around the internet, variously attributed to Confucius, Benjamin Franklin, etc., and described as a Chinese, Native American, etc., proverb.

http://idioms.thefreedictionary.com/Experience+is+the+best+teacher

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There is an English proverb 'Live and learn' which means, in essence, 'you learn from your experiences'.

A typical situation in which one might use it is after hearing someone else's tale of woe. For instance:

A: "When he was all smiling and friendly in the bar, I thought it meant he wanted to get to know me better. Then it turns out he was just passing the time till his girlfriend arrived".
B: "Oh well! Live and learn!"

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