I'd rather lose, I like story, I like roleplaying BUT, I am roleplaying as much as the DM is storytelling, so if my character dies in a fight, or to whatever (even a stupid failed save or die situation that i hate so much), I'd like the DM not to fudge it and let me die, same for the whole party.
We all died on the last boss of the adventure? Well tough s***, we had a good run and a lot of fun getting there but not all stories have a happy ending.
To me, if the DM fudges rolls to let us win, there's no point in playing.