Friend: On an unrelated note: do you gamble (besides poker)? Just wondering what a smart man like you still enjoys negative expectation games. (I've been itching to play blackjack and try some craps.)
so yeah, i gamble. not a whole lot, but for a while I was on a $1500 winning streak starting on my third or fourth time. started maybe winning about $100 at a time, every time, playing craps and blackjack. i don't play as much ever since the streak ended a year or so ago, but sure while playing you have plenty of time to sit and contemplate the meta- behind why a rational person would play.
the easy answer is pure entertainment. almost all forms of entertainment (movies, opera, skiing, etc.) are negative expected value games. (sometimes very negative). we still play them.
part of it is just the nice environment (vegas casinos are nice, usually not worth it for me elsewhere), free drinks, you get treated well by the staff, with deference and respect. sure its artificial, but feels nice.
but sure, the sheer thrill of it is fun. part of it is the camaraderie. craps is great for that. the table tends to win and lose together, and humans are evolved to enjoy teamwork (altruism genes). at least I do. blackjack too actually because as the card counters know, you mostly win or lose as a table based on the composition of the deck.
Also, happiness is not simply about how much money you have. (again, skiing is a negative $70/day game that I happily play). but even more purely, evolutionarily there is a nice economic basis for happiness that shows that optimal happiness isn't a direct function of how much money you have but instead is based on relative gains and losses. Thus the thrills of the occasional gains could easily outweigh the losses even though monetarily it doesn't. (see my chronicle column on this)
so actually, thinking about it more, it really is a nonsensical question to ask why one plays a negative expected value game. when really, the only positive expected value game we normally play is called a "job" and is not normally expected to be fun. (of course there are exceptions to that)
I also spent a lot of time, trying to rationalize the 15 game ($1500) winning streak. (So the rough algorithm I used was play until I either was up $100; and then stop; or down $200 and then stop) Somehow I won 1500 that way, the probability of which (from my stochastic processes class) is roughly 1-2/3^15 ~= 0. So of course, if you add in psychology, you can say that I cheated my accounting, and threw out from my sample a couple times when I lost money (excused as didn't have enough time to fully execute my strategy, or simply cause I was playing on a boat).