Winning is an interesting dichotomy in gaming. While the goal of each game--as printed in the rules--is to get the most Victory Points, etc., this is not why most of us play games. We play games for fun. What exactly makes a game or a game-playing experience fun is for each of us to decide.
Some play just to play. They don't care if they win. They don't care if they even do well. They are just happy to be at the table. This type of gamer can be problematic in 3+ player games, since they are usually hurting one person more than another. They are unlikely to give you a challenge.
Some play to win, period. They must win at all costs. They are likely to gloat if they win and sulk if they lose. They want to play games they are likely to win. Many of these players take their games so seriously that winning is an obsession. They squeeze every last point from the game, churning numbers on every turn, working out the formulae and graphs during their 15-minute turns. You will be unsatisfied with the experience, win or lose.
The sweet spot is smack in the middle of the these two extremes. Above all, games must be fun. For me, fun exists socially and intellectually. I enjoy interacting with my opponents, and I enjoy "interacting" with the game itself. I strive to find ways to improve my position or hamper my opponents, while still able to appreciate a clever play across the table.
The challenge of winning is a large part of the enjoyment of play, but it is the journey, not the destination, which creates this feeling. The actual victory is just the icing on the cake. In fact, I find losing badly in a game that I like more "rewarding" than winning. It fuels my drive to play again, and try different strategies and tactics. If I win most of the time, I tend to get bored with the game.
I also expect the same attitude in my opponents. If I feel pressure to play poorly because my opponent will get upset if they lose, or if I feel that the slightest error on my part will result in an argument, then I will find new opponents. I approach each game with the stance that I will give it my best within reasonable limits, and that the winner should be congratulated.
On a related note, I find games with "openings" less enjoyable. I prefer games that are different enough each time they are played that you are basically forced to play "by the seat of your pants". Intuition gets more points than calculation.