Run the Monty Hall Problem
APL, 77

p←?3⋄d[e[?⍴e←(⍳3)~p,c←⍞⍳⍨⎕←d←3↑⎕A]]←'_'⋄⎕←d⋄⎕←'You','lost' 'won!'[(c=p)=5=⍴⍞]


Needs ⎕IO←0. Tested on Dyalog.

Explanation

p←?3                       ⍝ p(rize) is a random number between 1 and 3
⎕←d←3↑⎕A                   ⍝ d(oors) is the string 'ABC'; output it
c←d⍳⍞                      ⍝ ask for one of the letters; c(hoice) is its position
o←e[?⍴e←(⍳3)~p,c]          ⍝ o(pen) is a random position except for p and c
d[o]←'_'                   ⍝ replace the o position in the d string with a '_'
⎕←d                        ⍝ output the modified d string
w←(c=p)=5=⍴⍞               ⍝ get choice, if it's stick (5 chars) and c=p, or neither, (w)in 
⎕←'You','lost' 'won!'[w]   ⍝ print the result


Examples

      p←?3⋄d[e[?⍴e←(⍳3)~p,c←⍞⍳⍨⎕←d←3↑⎕A]]←'_'⋄⎕←d⋄⎕←'You','lost' 'won!'[(c=p)=5=⍴⍞]
ABC
A
AB_
stick
You lost 
      p←?3⋄d[e[?⍴e←(⍳3)~p,c←⍞⍳⍨⎕←d←3↑⎕A]]←'_'⋄⎕←d⋄⎕←'You','lost' 'won!'[(c=p)=5=⍴⍞]
ABC
A
AB_
stick
You won!