Brendan Croft put me on to this recent post by Bizzaro.
He does make some good points and, mostly, I agree with him. But I would add that the reason I compete is to force myself to create. By setting a goal I have to come up with an act of some kind.
Unfortunately, some do people go in with the attitude Bizzaro has, but without the ability, and they waste everyone's time. They just want to be on stage and the centre of attention, despite the fact they MUST know they are way below standard.
At the other extreme some do take it way too seriously. You should not enter aiming to win, because there are way too many variables against you that you simply cannot control. One judge may have an intensely personal dislike to your style of costume and (unfairly) mark you low. One judge might be getting paid off by another act. You might walk out on stage and the idiot tech might miss every one of your cues and leave you on stage unlit and in silence.
I understand there is a certain degree of prestige and many publicity opportunities that come with winning a competition too. If you put in the hard work, go through all the stress, and then are lucky enough to win a prize - definitely exploit that. Let everyone know you are the 'Best Close Up Magician at the AJM Convention 2008' or whatever it is.
Alternatively, you could simply follow the popular course of making up awards and calling yourself 'Gold Award Winner of Magician of the Year' or some such title. Of course, you'll lose the respect of all your fellow magicians and look like an idiot if anyone bothers to check if you really did win a prize or not... at least then your fate is well and truly in your own hands.