One prominent pleasure construct that plays a vital role in people’s consumption is fun. The experience of “having fun” is ubiquitous among today’s consumers, who spend considerable amounts of time and money on fun activities such as a week-long cruise. Moreover, firms frequently promote “fun” as an attractive promise in their advertising messages and strategically position themselves (e.g., Virgin Airlines) as fun brands. Despite its growing presence as a unique concept in real-world circles, fun has yet to receive adequate academic attention as a psychological construct on its own right. Most of what is considered research on “fun,” has utilized the word as a proxy of experiential utility (Babin et al., 1994) with little regard for its psychological contents (Alba & Williams, 2013; Pham 2013). Thus, the main goal of this paper is to propose a theoretical framework on the psychology of “having fun” in consumers’ lives, and present fun as a unique construct, differentiated from related concepts such as happiness. To reach this objective, we adopt a multi-method approach with an inductive focus, based on data consisting of 21 depth interviews, 335 narrative experiences, and 1,600 selfies.