A phrase one uses when marking the end of something.
Sarah:I can't believe Amy cheated on you.
Tom:I know, me neither.
Sarah:What did you say to her?
Tom:I told her "thanks for the game", packed my stuff, and left.
When Robert started talking smack, and getting on everyone's nerves they told him "Thanks for the game Robo".
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A statement of frustration when it's a video game's mechanics and random number generators and not the player's own abilities that make a situation frustrating.
"Thanks Game for not having checkpoints in the middle of a LONG BOSS RUSH!" Table Flip ensues.