You're right—this is a very touchy subject! It's true that having opportunities to win will help boost your young child's self-esteem. It's important for kids to feel successful. But knowing what it's like to lose is important too. Losses will help your child learn how to be gracious in defeat.
There are a couple of ways to approach this. First, when you're playing a game with your child and you do win, remember that you are serving as a role model. Demonstrate what it means to be a good sport. You don't taunt your opponent, for example; instead, you thank her for playing a good game. If (when?) your child does display some sore-loser tendencies, you can call her on it, gently. You might need to suggest that a game or toy go into time-out if it's causing meltdowns or disrespectful behavior. And you can remind your child that other kids are not usually as patient as Mom and Dad when faced with poor sportsmanship.
Remember that being a good loser takes practice. Just like your child can learn how to shoot a basketball with lots of repetition, he can also learn how to lose without losing it. And often, it's easier for your child to practice this skill in a safe environment—at home, with parents instead of peers.
Still, losing all the time can be discouraging, especially for young children. One option is to play games based on luck (like Chutes and Ladders), so that kids have an equal chance of beating you. Then they can experience both winning and losing and, with your guidance, learn sportsmanship from both.
You can also look for more cooperative games. In the board games Never Land Challenge and the Joker Fun House Game (compare prices), both from Wonder Forge, players work together against a common enemy. These games encourage teamwork and feature popular kids' characters: Jake and the Never Land Pirates and the DC Comics Super Friends, respectively.
When you play strategy- or skill-based games with kids, whether they are board games or sports, explain that your size, age, and/or past experience may give you an advantage. You can choose to leave it at that, as a way to get your kids thinking about how this will affect the outcome of the game. It may not be easy for them to grasp at first, but you're laying the groundwork for better understanding.
Or, you can decide together that younger or smaller players will get certain handicaps when you play together. You want to emphasize that you are trying to level the playing field, not change the rules to help the kids win. That's because you don't want them to get the message that winning is more important than playing by the rules. (I told you this was a tricky topic!)
As your child grows bigger, stronger, or more skilled, slowly dial back the head start you've been granting until you're playing as equals. That way your child will experience meaningful victories. Of course, he may also face defeat. But by now, he'll have learned how to be a gracious winner. Right? Good luck!