Losses aren’t fun in any game. No one ever wants to lose. But in a single-player game you usually can reload from a save file, or at the least recover whatever you lost. MMOs can be a different creature altogether.
That valuable ship that got blown up in EVE Online? It’s gone. That bit of armor you forgot to roll on in World of Warcraft? You’re not getting a do-over. I remember running back from an experience party in Final Fantasy XI, getting unexpected aggro, and getting shivved to death in a matter of moments… and losing a level and all of my shiny new gear as a result of it.
Designers in recent years have done their level best to make sure that no single loss is likely to leave you completely heartbroken because no one enjoys that. But you can still lose out, even if it’s just a matter of losing a roll for a piece of equipment you really wanted or failing to clear content that you’ve been trying to get past for ages. So what’s the most disheartening loss you’ve ever had in an MMO? Did you keep playing the game after that?