Back in the mid-1960's I read a short story about a small group of humans that were being held captive by an alien. The alien forced them to play some sort of game, but didn't tell them the rules. Each move involved one of the humans doing something that had serious effects, like someone dying, or being changed into a monster. In the end, by sheer luck, the humans won the game. The last line of the story was from the alien: "Let's play 2 out of 3"
The story was probably from Magazine of Fantasy and Science Fiction and or Amazing Stories, but maybe from somewhere else.