This is very good advice (bonus whoring), but this can be done in addition to some of the other suggestions floating around this thread. Well, except for pshabi's, which was a joke for those who couldn't tell.
When I very first started playing online, I was palying 1/2 cash games, just to see what online poker was all about. I did pretty well with it, but eventually discovered and fell in love with SNGs. I played those almost exclusively for a while - $30 and $50 ones - and did really well with them (at one point, I cashed in 11 in a row). This was fortunate for me, as I was playing well above my bankroll. I hit a bad streak not long after that, but still didn't really care about bankroll management because I knew I could redeposit if I needed to.
I will admit to you though that the bad streak was bad enough at one point, that I made myself take an entire month off from online poker (this was back in 2003). Why? Because I was afraid I MIGHT be addicted, and I wanted to make sure I could stop if I wanted to. After a few days off, I didn't miss it, but I promised myself I wouldn't play for a month, and I didn't. It ended up being 5 or 6 weeks, I think. I came back and played here and there, but I didn't get REALLY serious about poker until bdawg convinced me to give the 5/10 6 max tables a try. I had played them before, but not exclusively, as I always had more fun with the SNGs.
Anyway, one month and $4k later, I was sold. Two month and another $5k after that, and I was hooked. This was my game. And that's what I used to build my bankroll.
These days, I enjoy the big MTTs, but I am a much better tourney player now than I used to be. I do still enjoy killing the 6 max games from time to time, but I mostly play 10/20 and 15/30 now, with the occasional 30/60 game mixed in when I'm feeling frisky. The swings there are still more than I am comfortable with though, so I don't do it often.
Anyway, hopefully that bit of a success story will inspire you. While I skipped a LOT of levels early on (and was fortunate enough to not get broke), I don't recommend that for most people. Keep in mind, if I busted, I was ok with making another deposit (which is what I did when I'd start to play at a new site). If my entire bankroll was online and I never wanted to deposit another dime, this would be a horrible idea though.
If you never want to lose your bankroll:
1. Make sure you have 300 BBs (big bets) for limit poker.
2. Never sit with more than 5% of your roll in NL or any single SNG or MTT.
Do that, and play fundamentally sound poker, and you won't go broke.
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