How to win more often?

I've been playing for a couple of months now but I find that I burn through my deposit way too quickly. I usually just pick a random game and hope for the best, but that strategy clearly isn't working out for me.
Does anyone have a specific system or a low-stakes game they recommend for making the money last longer? I want to play for the entertainment value rather than just chasing a big jackpot.
Are there games where you can bet really small amounts, like pennies?