In this review, we present a new conceptual framework for the study of play behavior, a hitherto puzzling array of seemingly purposeless and unrelated behavioral elements that are recognizable as play throughout the mammalian lineage. Our major new functional hypothesis is that play enables animals to develop flexible kinematic and emotional responses to unexpected events in which they experience a sudden loss of control. Specifically, we propose that play functions to increase the versatility of movements used to recover from sudden shocks such as loss of balance and falling over, and to enhance the ability of animals to cope emotionally with unexpected stressful situations. To obtain this "training for the unexpected," we suggest that animals actively seek and create unexpected situations in play through self-handicapping; that is, deliberately relaxing control over their movements or actively putting themselves into disadvantageous positions and situations. Thus, play is comprised of sequences in which the players switch rapidly between well-controlled movements similar to those used in "serious" behavior and self-handicapping movements that result in temporary loss of control. We propose that this playful switching between in-control and out-of-control elements is cognitively demanding, setting phylogenetic and ontogenetic constraints on play, and is underlain by neuroendocrinological responses that produce a complex emotional state known as "having fun." Furthermore, we propose that play is often prompted by relatively novel or unpredictable stimuli, and is thus related to, although distinct from, exploration. We present 24 predictions that arise from our new theoretical framework, examining the extent to which they are supported by the existing empirical evidence and contrasting them with the predictions of four major alternative hypotheses about play. We argue that our "training for the unexpected" hypothesis can account for some previously puzzling kinematic, structural, motivational, emotional, cognitive, social, ontogenetic, and phylogenetic aspects of play. It may also account for a diversity of individual methods for coping with unexpected misfortunes.