Pessimism ahoy!
I've entered like five contests where there's judges and I've only won once. Perhaps I'm just egotistical, but the judges always seem to pick entries I don't like (and I don't just mean that because they don't pick me, I mean I'll think "wow, this guy over here could win it" and they don't choose him, either).
To me, it's not worth the weeks and weeks of planning and work to get shot down. The worst is when the judges pick a winner from somebody who specifically kisses ass in their entry.
Good luck to those of you who decide to brave the odds, though. I salute you for being less of a wuss than me.