You remember in Scooby Doo when at the end of every episode the bad guy says, "And I'd have gotten away with it if it wasn't for you pesky kids!". I like to be those pesky kids.
I often play nations with sneaky troops, so I like to be the thorn in the side of whoever has gotten too big for their britches. Even when it looks like the end is nigh, I just might have a few hundred troops sitting 10 provinces away from your conquering army. Kinda like a LOLcat, "I'm behind ur linez! Infiltratin' yer provincez!"
But yes, I would definitely screw with whoever was killing me as much as possible before they finished me off.