Large out-of-pocket cost regions have been gaining traction in insurance plans as a way to influence enrollee behavior and control medical costs. In this paper, we analyze great dimensional richness in learning and behavioral change for Medicare Part D enrollees responding to nonlinear changes in their out-of-pocket costs. In particular, we identify a previously unaddressed learning region: initial purchases. Enrollees fill more often during initial purchases and respond more sharply to a large price shock than they do later in the pricing schedule. We identify enrollee reactions to the price schedule using a discontinuity approach that simultaneously controls for underlying disease mix and enrollee expected end-of-year price. Besides initial purchases, we deconstruct the large spending drop at the “doughnut hole” threshold, and show the decrease is largely driven by dropping branded drugs. Enrollees reduce out-of-pocket costs by simply filling the same mix of drugs less frequently instead of dropping fills in certain disease categories. There is some substitution to generic options, but we show that linking these patterns into disease-level substitution ability reveals substantial heterogeneity.