If I won the lottery (we're talking about at least $3M), I'd try to find and buy a 59 Gibson Les Paul Standard (which is worth $750k) and a kick-a** amp (probably a good ol' Marshall head).
I'd buy a nice appartment, take some vacations and buy my folks a trip around the world.
Then I'd probably put the rest in the bank and just live a normal life (except that I wouldn't have to worry about the money and having a job that pays well... but I wouldn't stop working).
Oh, and I'd buy a Harley Davidson V-Rod cause I just got my driving licence but I can't afford to buy a motorcycle !