One of the things you see a lot of in GMing advice is people telling you to make the game fun. They then, quite frequently, go off on talking about ways to make failure interesting so as not to have a bad roll or choice dampen that fun. The assumed dychotomy is obvious: success is its own reward, failure needs to be made interesting so it isn't a punishment. This is a message that I've probably given myself on more than one occasion. However, while I'm not going to say that failures shouldn't be interesting - or that making them interesting won't take work - there is a better way.
What is the better way? Focus on the situation. Regardless of the choices and die rolls that come out of a situation, if the situation is inherently meaningful and interesting to the Players and the Characters then regardless if something succeeds or fails the results should be interesting as well.
This is easier for political and social challenges than it is for combat challenges - combat challenge failure usually results in death - but it can be done.
So how do you do this? Well, it depends on your game, what your players like, and what your characters are involved in. If a PC is a noble and has a family, then dealing with a threat to their family - regardless of success or failure - is going to be interesting to them. If a PC is concerned with saving the forest then dealing with that will be interesting. The point is this is less about mechanics and more about approach.
Your PCs should be a centerpoint in your story. They should have a personal involvement in what is going on - even if events are also bigger than them. Play on this involvement, pull them into what is going on, raise the stakes, and make everything interesting. When you do this right, when you pull on the right strings, then winning and losing cease to matter because it is the events and stories being told that has that sway.
Its All Choice and Consequence
A more real example for this could go with the first example I gave above. One of your players is named Sarah and she is playing a human noble fighter named Lacia. Lacia is out adventuring with the group when she comes across a plot: her family, the Dalons, are going to be targeted at the King's war council happening in the capitol. A war council that the PCs, being heroes of the land, have been invited to.
Now, while the PCs are working on the main plot, Lacia is also looking into the plot against her family. It comes down to assassins and intrigue. Her family has been slandered and on a rain soaked night a group of men in masks and cloaks break into the Dalon's home in the city and attempt to violently wipe the family out. Lacia moves to try and save her family and fend off the attack.
Ask yourself this, right now, does it matter which way this plays out for the results to be interesting?
To me it doesn't. Both ways are interesting. If Lacia pulls off the nigh impossible and saves her family then the Dalons are saved but they have an enemy and one they need to strike back against. Lacia can get pulled deeper into a web of intrigue as the Dalons go for that vengeance, perhaps with her at the spear head. If Lacia fails - but lives - than she is now the last of the Dalons, and her family did have enemies. Does she go for revenge? Does she put it behind her? Does she flee? Does she seek the King's protection? The possibilities are endless here. Finally, if Lacia dies in the attempt then Sarah's character is dead, but even in that the world is changed. The other PCs now live in a world where the Dalons are gone, and with them one of their friends. How do they react? What do they do?
Basically, no matter how the situation plays out - because of how it is set up - the results are interesting. The roll of the die that determines Lacia's success or failure is handled much the same as if Lacia's player faced the choice, with no die rolls involved, of whether or not to save her family.
Take the time to build the situation right, and the intrigue and interest will flow naturally off of it. For every choice a consequence. For every action a reaction. Just don't forget that the roll of a die is when fate makes a choice about what happens. That choice also needs consequence, and sometimes those consequences should extend beyond the immediate.