To me, the lesson that is taught by this poem is that you should not stress over decisions. The poem is teaching us that most decisions that we think are really important are actually meaningless.
At the end of the poem, the speaker claims that he took the road that was less traveled and that that choice made "all the difference." But we can see in the rest of the poem that there really was no difference between the two roads. He just stood there convincing himself that the choice mattered. He should have just gone one way or the other on a whim because both paths were the same.
This also tells us that we have a great capacity to fool ourselves. The speaker in the poem has convinced himself of something that is not true -- that there was a difference between the two roads and that his choice was very important.
A very good lesson that can be learned is to feel proud of one's own choices, even when others say to us that they are taken in vain.
Sometimes we get two choices in life, and we realize that one is better than the other. Yet, the one which has the least weight, least hardship, and least risk is the one we choose precisely because it gives us perspective, and it puts on to a challenge.
What we learn from this is that many do not take the harsh, hard, and heavy trip because many might say it is not necessary. Yet, those who do take it, and take the shot, and walk it through will have much to feel proud of in the end. In short, like Wayne Gretsky said "the only shot you miss is the one you do not take".
The lesson that one can learn from Robert Frost's "The Road Not Taken" is: LISTEN TO YOURSELF.
However, Frost doesn't state this message in a matter of fact straight forward way. The poem is deliberately ambiguous because when a person arrives at a fork in a road he becomes confused at the ambiguous choices in front of him. We come across many forks in the road of our journey called life and we are faced with tough choices which either challenge us to do something different or confuse and demoralise us.
Literally speaking, the whole poem can be understood as a glorification of individualism. The traveller is a non-conformist who claims that he has done the right thing by "taking the road less traveled by." Thus, the poem inspires and encourages its readers to be unconventional.
However, it could also mean that the traveler regrets that he has made the wrong choice by "taking the road less traveled by." In the 2nd and 3rd stanza the poet admits that both the paths are equally worn and are equally leafy covered: "just as fair" and "equally lay in leaves." Hence, actually the choice has made no difference at all even though the speaker might confidently state otherwise.