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I so often hear people giving the golden rule of RPG's as 'remember it's a game, and to just have fun'. I can see that if nobody likes the game then it's not a good game, but the 'have fun' advice, while common enough, doesn't help anyone to do anything.
John Mill discussed the paradox of happiness. If you want to build a boat, you try to build a boat. If you want to go to the shop then the best thing to attempt to do is to go to the bloody shop. But if you want to have fun? Well, try it now. It really doesn't work. So what can you do to 'have fun'? Well, there's sports, catching up with friends, learning new maths and a whole host of other things. Notice a common element - none of them have 'fun' as an objective. Sports may be fun, but don't 'play just for fun'. Play to win. You play to score points and stop the enemy scoring points. If you're catching up with friends and you want to have fun, where exactly does that lead you? Probably nowhere. You might be better off seeing where the conversation takes you. If you're learning maths, don't go with what's fun. Who knows what maths is fun before learning it? Better to work at examples quickly and look at why things work as they do. By the end of the night, you might find you've had fun whether you get all the right answers or not.
And it's just the same with playing an RPG. The players start character creation and must choose their characters' goals. What goals should they choose? Well, if they just list fun goals, and a player likes combat, they might say 'Bob the barbarian wants to smash things'. That's a goal, right? But it's not a very interesting one. A better goal might be, 'Bob the barbarian wants a necklace made of the bones of a thousand types of ferocious beast. Suddenly that's fun. When the beasts arrive, Bob's not attacking them for fun, but for glory. The player did not wonder what, in RPGs, is fun. They wondered what a Barbarian's goals might actually be.
When the players are asked by a local guardsman to guard a shop overnight and one of the players starts making obvious jokes at the guardsman's expense, that's a problem. It's out of character, derails the mission and draws everyone out of the game. But if the player's supposed to be having fun (and they are), what's the problem?
And if players find magical items fun, why not hand out more? How about ten magical items, per adventure, to each player. Surely this can't fail to be fun.
When an adventure's over, some GMs ask, 'Did you all have fun?'. I feel that's the wrong question and not a reaction you should want. In a horror game, the players should have been terrified. In a game of high adventure, the players might feel overwhelmed by the enemy. In a distopian, futuristic RPG they might feel angry and frustrated at the powers that be. In a fantasy RPG they may feel worried about their lost companions.
Notice that in each case they are feeling something about the game, and it does not really matter what. So long as their attention is directed in-game and they are engaged, the exact type of interaction is less important than the level of emotion. By way of comparison, consider a book. Do you ever actually 'have fun', while reading? Just what on earth is 'fun' meant to feel like? You might hate the suspense in your book, or despise some of the characters. You could end up feeling really shitty about what the characters are up to, but as long as you are fully engaged with the book then that's a good book.
At the end of the day, it's engagement that counts - the players must buy into the stakes and must care about the results. Talking about 'fun' means talking about a non-game concept. It detracts from the game. It asks you to come away from the story, look at it from afar and examine it under a microscope. If you've finished the night's tale and you're wondering if you had fun; you haven't. But if everyone is fretting about the next instalment or basking in the glory of finally getting that bastard of a sheriff then the story has proven itself worthy.