"If you didn't enjoy playing Tetris, torturing yourself for countless hours on end simply to achieve a high score no one will ever care about, you are one poor bastard. Thinking like this makes those morons that do stupid shit to get into Guinness look really smart. At least they get their name in a book, immortalized in history as the rejects they were.
If you just want to challenge yourself, hold your breath."
You are my hero. I would like to buy you a beer. OMG did you hit the nail on the head.
Good example of games where losing can be fun:
Dragonrealms (I was a thief, its a text only, pay to play MUD that is just too expensive to play at $40/month). I got my behind handed to me regularly for stealing from people. Best fun in the world was a creative person hunting me down 2-3 days after the fact solely to put an arrow intentionally through my throat and watch me bleed to death.
Dwarf Fortress. Their game motto is, "Losing in fun". In their forms, some actions (such as unplugging a well) are said that they may "lead to fun". Which means well... death, burning, destruction (of you, not anyone else). You can't even save a game to try different things without end tasking the application. This is by design and those who do it are frowned upon.
Starcraft -- yea, had fun losing there.
Galactic Civilizations - yes, many hours (months?) of fun losing games here. I would say I lose ~80% of the games I play in this series. BUt thats b/c I play on a hard setting and because I want a challenge. WHen i do win, its glorious.
Chess. Yeap. Fun to lose sometimes when you see brilliance.
Sins of a Solar Empire: Aside from the idiocy with pirates, lots of fun to lose.