Place it at the end of a fail sequence, just after the losing moment, then follow it with Finish Him for an exaggerated defeat or Sad Trombone when the loss is more comic than dramatic.
About this sound
This short voice clip, just under four seconds long, has Heavy from Team Fortress 2 stating flatly that you are dead and that it is not a big surprise, in his heavy accent. That delivery makes the defeat feel funny and strangely light, instead of harsh or tense. It comes from Team Fortress 2.