Popularized by the indie game Dwarf Fortress, "losing is fun" refers to the
inevitable destruction of your fortress, wether by goblins, elves, kobolds, humans, demons, and more! It really is what keeps many players going, wondering what will destroy their new
masterpiece.
Me: Okay, that's another 8 forts lost in the last week. Let's look for a nice, quiet spot to make my new fort. Oh! That'll work! >click<
Game: UNICORN
INVASION!!!
Me: AW, COMON! *Sighs*. Losing is Fun, and all that.
Two days later: *
Mumbling incoherently into a corner