It’s the chance of winning, not the expectation that I’m going to win, that makes gambling entertaining/fun to me.
The chance of winning may be entertaining, but every sane person expects to win when they place a horse bet. That’s why you bet on chosen horses, unlike the lottery, where a big part of the gamblers let the machine choose random numbers.
Again, the lottery is the best example how some form of gambling have nothing to do with entertainment – the chances of you winning the “Mega Millions” is so slim – it’s not even funny.
Bingo, on the other side, is a perfect example of the entertainment in gambling.