I have no qualms about playing Magic to lose. Playing to lose gives helpful information to you about your deck (and its suckiness), your cards, your adversaries and your personality. It can also be a great way to train a beginner.
However,
There's no doubt its nice to win once in a while. When I get tired of trying new combos (Decree of Anihilation + Dream Halls anyone?), I go back to my most reliable deck, just so I can whip someone (plural). Of course, my best deck is UG Madness
Naturally, this deck is so good its far too overplayed. A friend of mine was browsing the web and found a tournament top 8 in which 6 people played UG Madness. The best thing about UG Madness is its speed. Cards in this deck accelerate themselves. There's no need for "artificial" acceleration (Explosive Vegetation, Wirewood Elf) when a Wild Mongrel will cut the cost of your 6/6 by 3 and beat your opponent senseless simultaneously. Pure speed will help you win most 1v1 games.
When it comes to multiplayer, however, things are slightly different. Most multiplayer decks are quite slow. Using your speed, to win you should quickly eliminate other fast decks and then build an army of mass destruction for a one shot kill on the other players. Several parts of UG Madness are near useless in multiplayer. Firstly, countermagic (Circular Logic, Mana Leak, Counterspell) is pointless; there are far too many deadly spells to counter them all. It would probably be best just to weather it. Secondly, hosers are also relatively uesless as it is very hard to hose against multiple decks. You will also need a reliable army of destruction. For this I chose Grizzly Fate.
Madness and Threshold decks are very closely related. Cards like Ray of Revelation tend to sit in one's graveyard lurking as they were discarded early to a Careful Study or found by a Quiet Speculation. This makes it easy to get threshold. Therefore, starting turn 5 or 6, you shold be able to churn out bear tokens. Did I mention Overrun? With 4+ bears, Overrun is an instant win. What about blockers? Silly. Blockers are for non-Wonder wielding fools. Don't forget, you're playing UG Madness.
Another gem I found is Stampede Driver. He's another turn 1 play, and contains an instant speed Overrun which also meshes with madness. In a deck like this, you need an alternate turn 1 to your Careful Study (and you save your Rootwalla for your Mongrel).
This below is a simplified, non-rarified version. Meaning it doesn't have Yavimaya Coasts or Upheaval or whatever else. You can always add those, just remember to take out other stuff.