Have it once, definitely. In many cases you’d find it wasn’t that big a deal to start with. Even if it did turn out to be just as fabulous as you thought it’d be, you’d still be grateful to have had it, even briefly.
I would rather want something and not get it. It’s fun to dream. Kind of like the feeling of excitement that you get on your way to a vacation destination. On the way home, it’s a bit of a let down. You just want to go back.
If you get something, there will always be something else around the corner. Always wanting more. Dreaming is the fun without the let down.
Given that I’ve had both of these happen to me, I’d have to say it’s far better to want something and never have it. That way, you can’t lose it, and it doesn’t hurt so damned much.