Because that first hit, that first win, gives them the adrenaline bump and rush that keeps them coming back believing they can get it again.
I got it once for a few weeks, bought a scratch off just for funsies for the first time in years, and won $100. Whew. Over the next several weeks I bought a ticket every time I went to the store because I was chasing that high.
Quit it once I realized I spent that $100 I won.
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