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You win a few, lose a lot 

A more serious incarnation of the commonly used phrase "you win some, you lose some". "You win a few, lose a lot" is meant to express the feelings of constantly losing or being screwed over despite trying your best.
Guy 1:"Hey man what did you end up getting in your math class?"

Guy 2: "I bombed the final and got a D in the class."

Guy 1: "Damn well are you still going out with that girl you met a few weeks ago?"

Guy 2: "No she ended up going back to her ex. It's like they say you win a few, lose a lot."
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sore loser 

sore loser is someone who loses in a fair competition but whines about it on a constant basis or tries to change the rules to their advantage once its evident that they have lost.
sore loser by Dave Badu March 29, 2008
Related Words

lose your lunch

The act of vomiting. See ralph chunks
Dusan, stop drinking. You look like you're about ready to lose your lunch.
lose your lunch by Wiseman June 27, 2006
A person who is extremely cool and happy with themselves, yet looked down upon for being different. Just because someone is a loser doesn't mean they are not cool. The cool part about being a loser is getting to admit you are one.
Loser by Jessi December 30, 2003

Lose the Bet 

Slang term for jacking off. Comes from the bet featured on Seinfeld.
"Hey man did you lose the bet last night after your girlfriend left?"
"Yeah dude, we're stuck on second so I had to do it by myself."
A loser is a person who parties everyday, smokes pot 24/7, takes vicodin 24/7, smokes, doesn't want to get a job, doesn't have a drivers licence, and plays MW2 a lot.
Example:

loser: Hey dude lets party and get wasted.

dude: But its Monday you fucking alcoholic piece of shit.
loser by stonerkiller100 May 12, 2010