I don't really play a lot of games at once - I'll usually find a game I like and play it for a long time. So I'll usually end up getting pretty good at the multiplayer. On Brutal Legend, for example, which I've been playing for a few months now, I can beat whoever I'm against most of the time.
As far as how much I like to win... Really, I think what's more important is that a game is close, rather than whether I win or lose it. If I, or my team, are getting completely stomped, it's boring. If I or we are the ones doing the stomping it's also boring. There needs to be that possibility of it going either way for the game to be really fun, I think.