Quixote is hardly a good model for leadership, but he provides a basis for thinking about what justifies great action. Why do we do what we do? Our standard answer is that we do what we do because we expect it to lead to good consequences. Quixote reminds us that there is another possible answer: We do what we do because it fulfills our identity, our sense of self. Identity-based actions protect us from the discouragement of disappointing feedback. Of course, the cost is that it also slows learning. Both types of actions are essential elements of human sensibility, but our usual conversations — particularly in business settings and schools — tend to forget the second.