To be very direct to the question, I don't think games should incentivize failure. I think that just leads to more problems rather than helping the game's situation. A couple of things have been mentioned on that already.
A more useful tool would be to manage the expectations of failure. A lot of that comes with being very clear and comprehensive when establishing your game's theme. Is this the place where everyone is the hero? Is this where you come for wish fulfillment? Is this the place where you come to tell the stories you want about your character? There's nothing wrong with those at all, if that's what you like. But I think @Ganymede suggested that you should pick a system that supports that. If the experience you came for is to always win, then why have a system at all? Tell the story without including chance or stats. Some systems aren't meant for everyone to win everything. Some systems are pretty brutal at allowing success. If you're running the above type of game, that probably shouldn't be the system you use. Or modify your system so that it fits what you need. You can run WoD, but lower all the diffs so that rolling becomes next to pointless and allows everyone to win.
But if you want a game that includes failure, make sure you establish that in the theme. There are so many people that show up to games with their own idea about what the game should be or what MU*ing should be and so disappointment and frustration are inevitable. If you believe that failure makes stories more dynamic and interesting and surprising, then failure is incentivized by the roller coaster of stories you get to tell and be a part of. You can use dice systems that include botches and dramatic twists and situations and everyone on your game should understand that that is the type of game they are signing up for by playing there.
The other problem is that many games ignore all the aspects of a story besides the character. Besides being boring, one dimensional stories have the problem of: if you something happens to the one and only aspect of this that you enjoy, you no longer have any avenues of fun. But stories managing just the setting are ripe for the telling and they are often completely ignored. Character are often handed buildings and land and there's no responsibility to maintain it or involve it or be involved in the surroundings in any way. Positions of importance are mentioned a lot, but I have to believe that the creative types that play and run these games have to be able to come up with enough positions of importance that everyone who wants one can find one. These games often involve power and status and none of that is done in a vacuum. In WoD games, with which I'm most familiar, there are vast swathes of story that are usually level completely ignored. Territories, economies, properties, resource management, items and equipment, etc. So much stuff is just left on the cutting room floor that players feel like their fun is over because they don't get one thing they want when there's hundreds of other things to achieve (in theory) but players rarely get the opportunity to involve themselves with them in meaningful ways.
Lastly: practice, practice, practice.
Like anything, being good at something takes practice. And if you have little to no practice at something, it is very easy to suck at it. And since many of the games I've played have little to no failure at all at any time, it is no wonder that the very few times that players encounter failure they FREAK out about it. If the practical culture of a game is that no one ever fails and then you manage to do so, it is very easy to feel like crap about it, especially when everyone else is succeeding so greatly and living their best life. More failures all around help everyone cope with the fact that not everything is perfection. That's not to say that you should make people fail. Just don't make everything such a cakewalk and let the dice do what they do.
What I've heard too much is 'I don't want X to happen to my character because of bad dice rolls'. Then why are you using dice? Dice randomize the outcomes within stories. Sometimes for good, sometimes for bad. If you don't want that, don't use dice. What some people really want is to overcome challenges and beat the odds so that they can look and feel impressive - but without any of the risk.
The incentive in failure is the dramatic turn of the failure, the excitement of that story. If you have to incentivize it, something with your game and/or players is already off. The only way to fix that is by cultivating the culture you'd like to see on your game of embracing both the ups and the downs.
Derp