I play to win as White, but also try to play aggressively as Black while recognizing the difficulty of shifting the momentum of play while half a move behind.
Do you play to win or to not lose?

I usually play to win with White or Black, but my highest rated OTB win occurred when I was playing not to lose.
The ending is here: http://chessskill.blogspot.com/2012/02/pawn-wars.html
I play to win. I have consistently better results when I go into each game expecting to win and make plans and moves to push for that to happen and when I don't win I go find out why I didn't afterwards.

Play for a win, take the draw and be happy about it if that's how it works out, especially if you are black.

Playing "not to lose" makes as much sense as "playing for a draw" . For a club player, that's as sensible as a non-marksman layperson saying "I'm going to hit 3 cms off-center to the bullseye on purpose".
It's arrogant to think we either have the skill or the technique to pull off "perfect defense" or "keeping the position boring" consistently so you might as well play you think is best for the position.

I like to play to not lose like Kramnik, Leko and Karpov. That's why I chose the Petroff and QGD Orthodox Defense.
I'm more than happy to get at least a draw. My reaction is the same whether I win or draw.
What about you guys?
I'm pretty sure Kramnik, Leko and Karpov are a tad bit more complicated than you give them credit for (or don't give them credit for). My reaction to a finished game depends more on how well or poorly it was played by me and my opponent than on the result. Winning by forfeit or a gross oversight on my opponents part isn't the same to me as a game where I can at least think I outplayed my opponent and occasionally I can admire a loss where my opponent really took me to the cleaners and I at least have a clue as to what I did wrong or what opening to never play again in a serious game.
There's nothing wrong with being a "safety first" kind of player if that's what makes you happy, but you should try thinking outside the box occasionally and try out 1 or 2 slightly more aggressive openings if you're already pretty comfortable with Petrov's and QGD Orthodox Defense.
I like to play to not lose like Kramnik, Leko and Karpov. That's why I chose the Petroff and QGD Orthodox Defense.
I'm more than happy to get at least a draw. My reaction is the same whether I win or draw.
What about you guys?