I think it's more so there is a chance to come out ahead. E.g., everyone sitting on a pokie machine absolutely knows in the long run, the casino wins out. However they are hoping they are the 1/million that gets the jackpot and "beats" it. The same reason people buy lottery tickets I guess.

Other people simply like the social aspect of a lot of games (craps, poker, blackjack, roulette) and the excitement/thrill of seeing some big winners. You know in the long run you are losing X%, but still go to burn hours and have some fun.