It all depends on what level you play at.
Just like with any other discipline, you must stay at your level and just a little beyond.
If everything comes too easily (like chess puzzles that are too obvious for you), you don't advance, and everything becomes boring.
Go too far, and you feel overwhelmed!
Chess is always fun for me. As we appear to be referring specifically to the puzzle part of chess, I love it when I suddenly see all the pieces click together- after all that struggling, finally the solution is upon me!
I also enjoy puzzles that are too taxing for me. It reminds me that I still have much to learn, and challenges my analytical skills. At the other end of the scale, I also do some semi-easy tactics to keep myself sharp! 
I ask this sincerely. Most of the time I love playing and studying my chess books. But then there are times when I feel overwhelmed - that what I am trying to understand is just a little beyond my grasp. Playing is great, though sometimes I look at the board and I know I've got to make a sensible path through all those chess pieces! (Especially in the middle game)
Mostly it's the chess puzzle and tactics and problem books that get me frustrated. The easier ones are fun, but I get all tangled up in some of those difficult ones and keep trying and trying to find the answer. And the harder I dig for the answer the deeper in mire I get.
Anyone else ever feel like this?
I feel good about the progress I am making, and my knowledge has grown since I joined in September (a poor novice who did not even know what a pin or fork was...)
So I guess it takes a little of both. On those days when the "ah hahs" come and the light comes on I rejoice. On those darker days when some of those chess problems make no sense, I'll try to remember the days of light.
What has been your experience?
stwils