I think that sometimes we make a false dichotomy between doing things God's way and fun. But perhaps that tells us that we are defining fun incorrectly. If we define fun by what brings us the most pleasure than the truest definition must involve doing things God's way.
I remember back when I was in college I would go to work and talk with people who "had fun" over the weekend doing various things that God prohibited. In nearly every circumstance that I can recall the "fun" they had was temporary and the consequences longer lasting than the moment of enjoyment. Alcohol led to long hangovers, headaches, poor choices, loss of monetary resources and many other things. Getting high led to much of the same. Sex often led to broken relationships and sometimes even children. The fun that was had was always tempered by the consequences.
When we do things the way that God intends we can not only enjoy the moment, but know that the consequences will be positive. Yes it is sometimes hard and yes it sometimes requires self sacrifice, but the joy that we receive both in the here and in the here-after are immeasurable. So I guess if you want to trade your eternity for a moment you can have at it. But I would rather trade this moment for eternity - I think that is not only the better deal - it is a lot more fun!