Multi-user wireless communications systems form competitive environments, where self- interested users having different abilities to gather information and learn, compete for the limited spectrum resources. Existing multi-user communication solutions often result in inefficient resource allocation in such environments, because they usually assume transceivers which passively select their actions in response to the information they can gather about competing users. For a variety of communication scenarios, such passive system designs often lead to inefficient spectrum usage or even in a network collapse. We propose a methodology that transforms the non-cooperative game played among myopic users based on their private information into a Stackelberg game. Stackelberg equilibria of the Stackelberg game can potentially overcome the inefficiency of the Nash equilibria of the original game. For instance, in contention games, a particular type of Stackelberg intervention is constructed to show that any payoff profile feasible with independent transmission probabilities can be achieved as a Stackelberg equilibrium. We discuss criteria on how to select an operating point of the network and informational requirements for playing the Stackelberg game. As another example, in wideband power control games, we investigate how a foresighted user having its desired information should design its transmit power spectral density in order to play a Stackelberg equilibrium and improve its achievable rate. Finally, we show that both the Nash equilibrium and the Stackelberg equilibrium are special cases of the conjectural equilibrium. We also develop practical algorithms to form accurate beliefs and select transmission strategies in order to attain desirable conjectural equilibrium.