I think that winning will of course keep you gambling, but I don't think that's the main source for fun in gambling. I think the success for gambling comes for the thrill it provides. If you keep losing and you start getting afraid of losing more, then the fun is suppressed by fear and you probably stop, or worst case scenario you get no fun out of it, but instead of quitting you feel obligated to try to recover your losses.
Anyway if it does not go to any of those extremes, the fun in my opinion comes from the excitement of trying to guess the unknown, or control the unpredictable. Pretty much like extreme sports, the fun comes from the thrill.