I don't play only hard games, but I do play some very difficult ones, and play them to death. Zelda 2, Ninja Gaiden 2, and the Long War mod for XCOM:EW come to mind.

The Dwarf Fortress wiki redirects the page for "Fun" to "Losing". They have a superb depiction of the mentality behind this; I'll annotate it here:

Losing is fun!

You can't claw your way out of a dragon's innards and then rip out its throat without first getting swallowed by the dragon. And while it might not be a Sarlaac, digestion by dragon tends to suck.

Why play a game that's hard and painful work? Because there are more emotions worth tickling than amusement or satisfaction. The emotion I aim to tickle is triumph.