Competing risk is a tough concept. I think the reason people have so much trouble with it is that it sounds intuitive. When you hear "competing risk" you have this immediate sense that you know what it means. But in practice, competing risk works quite a bit differently from what you might expect. In a post written for MedPage today, I outlined the issues in interpretation of competing risk using my foray into nightlife as an analogy.
Check out the full post here.