As long as I don't get annoyed. Sure, losing normally means either you or your team mates were doing badly, but the other week, I had tons of fun on League of Legends because I was kicking all kinds of ass with Akali, and I even lost that match.
But I normally win matches, not because I am god-like at every game, but I stick to games I am good at, Halo: Reach is a good example, I'm pretty good at that game, and normally if I play people my skill level, I can win. And WoW, I guess, PvP in that is fun for me and I normally win.