It's also important for characters to lose. I'll use my husband as an example. He becomes a fan of various teams at different times, but, except for his third-generation love of the USC Trojans, he's pretty fair-minded. If a team wins too much, he gets to the point where he wants someone else to win. I can't tell you how many times he's switched sides, rooting for unknowns up against the established power. For example, he loved Tiger Woods when he first came on the scene, but now he tends to watch golf more intently when someone else is really doing well and is likely to beat Tiger Woods. (And, yes, my husband watches golf, and I appreciate your sympathy.)
But my husband is not alone in his desire to see people defeated sometimes. A work of fiction (whether book or film) becomes far less interesting if everyone we like wins every time. That is part of the appeal of the film Star Trek II. Spock died. It was horrible, it was beautiful, it was poignant, it was brilliant. But the impact was lessened when the third movie came out and he came back to life (it also wasn't a great movie).
Sometimes people we love die. Sometimes great characters don't win, or at least don't win the first time around (or the second, or the third), but this failure makes the final victory all the more meaningful because it was hard-won.
So, as Rocket Scientist suggests, make your characters vulnerable. And as I suggest, make them fail sometimes. Your readers will love them all the more for such weaknesses.