There is a fine post about the misery of being a baseball fan by Flynn over at Redbird Nation. He talks specifically about St. Louis Cardinals misery, but he's really talking about all of us (well, maybe not Yankee fans, who rate at the top of the list in terms of Fan Enjoyment):

Each year 29 teams go home unhappy and one gets to enjoy it all for about five minutes before the speculation begins about whether they can do it again.

Misery? Fans need misery. Misery begets hope. Hope generates interest, interest turns to obsession, and obsession turns to ecstasy on those rare moments when it all goes your way. Here’s hoping we’ll know what that is again, next year.

Here, here.