I think it's different for different people.

I know plenty of people who always want the good guy to win, like watching all of the standard comedy flicks all the time, etc. And that's fine, but I enjoy watching shows and movies that are dark and gritty. 

One of my favorite movies of all time is Requiem for a Dream and nobody wins in that one. The reason I like it so much is that it made me a feel a way no other piece of entertainment has ever made me feel (i.e. sitting and staring at a blank wall for 10 minutes afterwards saying 'what the fuck' to myself). It's a good story that brought up a really intense emotion inside of me that I'm not used to feeling. That's the kind of entertainment I enjoy the most.