You have to be in it to win it.
Most people who say they have "never won anything" have probably never actually entered more than a handful of comps. The fact is, it's all about volume, the more you enter the more chances you have of winning.
Keep trying and don't get discouraged.
You have to remember that there is a time lag between you entering the competition, the comp closing and then the winner being selected and contacted. All the time I have been comping I have in general given it a big effort, then not won anything and lost interest. Then a win comes along and that has given me the encouragement to get back into it. Try and avoid this cycle and just stick at it !
The less well known the competition/brand/promoter the better
Common sense really, if not so many people know about the competition not so many people will enter. New companies / brands can be useful as they often have prize draws to raise awareness and build a customer database when they launch. Also keep your eye out for local competitions, with a small audience. You may find these in your local paper or radio station for example.
The smaller the prize the better
There are so many free to enter online comps around these days that a lot of people will only enter the ones with amazing prizes, like luxury holidays or cars. If you want to get into the winning habit don't turn your nose up at comps with books, cinema tickets or similar as prizes. All the small wins can mount up and a small win can also give you a morale boost to carry on. A big win might be around the corner.
The shorter time to enter the better
If an online competition has a small window of opportunity to enter, hopefully just a few days, then all the better for the entrants because there will be less of them than if the comp was open for a few months.
The harder the comp the better
While a lot of what is written here is common sense, this one is a bit different, but it is true the harder it is to enter, the more hoops you have to jump through, the less likely other people are to do it = good for you (if you do it). So if there are difficult questions that need some research to enter, great. Better still if there is a requirement to do something creative then that will put a lot of people off. Competitions requiring you to upload photos or videos can also be useful for cutting down the number of entrants.
And Finally . . . .
Good Luck !