Sometimes, you have to let them win. They can't lose all the time, can't run away all the time, they sometimes have to win, to feel that they are advancing, and that they are getting better. Even in horror games, where the premise states quite boldly that they're gonna lose most of the time, and maybe even to lose in the end, little victories should be achieved (albeit sparingly) in the story.
There are 2 reasons for that. The first is story wise: It's far more powerful to strike the characters down from a mountain than from a hill, and especially from a short roof. If you bring a character to a higher point, the fall will be more powerful, more harming, more dangerous, and more dramatic. There's a reason that usually, in tragedies, we have high-standing persons- the fall is more powerful, the contrast between the start and finish points is far greater. Giving the characters a victory here, another one there, serves this purpose.
But there's an even more important reason: If they won't win once in a while, it will be a game of frustration, and no one wants to play a frustrating game. They want to sometime feel frustration, but for short intervals only. Giving the little wins, the little successes will give them a reason to go on ("hey, we do win sometimes...").
It also gives hope, a lot of hope, if sometimes the villain loses. Think about it: If the villain wasn't defeated ever before, there's no real powerful hope in the situation. Sure, if done sparingly it empowers the victory, but if done all the time, it will bring the opposite of hope; it will downgrade it, resulting in a death spiral.
One thing to remember, though, is that the victory shouldn't feel given. We're a little bit cheating here, even big time sometimes, we can't let it be understood by the players or we'll get the other side of the spectrum.
In conclusion, the PCs should, at least sometimes, be victorious in order to bring hope to the players' hearts, but it should look like it was justifiably won and not because we gave the victory to the players.
What about you? Do you sometimes give your players victories? How did it go?