Why do you think women like Volvos so much?" my friend Beth asked me as we watched three gray cars crammed with kids pass through an intersection. "Same reason they have trouble experiencing pleasure—their minds are on 50 things at once," I told her. "They choose safe cars as a precaution."

Beth was one of the subjects in my informal pleasure survey. A couple of months ago, I'd heard that the actress Catherine Deneuve cultivated pleasure because she wasn't naturally a happy person. The idea intrigued me. I'd always thought pleasure was beyond my control—like finding a warm spot while swimming in a cool lake. You hit the moment; it's lovely and then gone. But Deneuve was suggesting that by taking pleasure seriously, she was able to reorient her inner compass and change her feelings, thoughts—and ultimately her entire mood.

For the perennially grumpy, this was big news. Did other people consciously seek pleasure to lift their moods? I hit the phones to find out. "Does eating count?" asked Patty, a 40-year-old screenwriter. "No," I said. Not unless you are truly immersed in the act of cooking, serving, and tasting. Rote activities—things you could do in your sleep—don't count. The pleasure in them wears off after about ten seconds. They don't get you to a state of sustained well-being.

I was talking about activities that require considerable attention, like learning a language or painting a mural. You lose yourself, forget about time, and come back feeling different. Think of Steve Jobs at his circuit board, Albert Einstein on the violin, kids under a garden hose. Patty paused for a second, then told me the only time she could lose herself like that—say, by visiting an art gallery—was when she'd convinced herself it was work related.

Other friends placed similar constraints on themselves. "If the pleasure starts in another category, like exercise or making money, then I can do it," said Meg, a 45-year-old mother and clothing designer. Amy, a 35-year-old mother and veterinarian, told me she thought about what she wanted to do all the time—sketch and paint—but was waiting until the kids were grown. Others told me they didn't have enough time to figure out what they would do if they had the time.

Men, it turns out, are different. They are less self-conscious about "wasting" hours—watching sports, playing Nintendo, fly-fishing. They are connoisseurs of their pastimes, collecting data and stories, creating office pools so they can sneak a little fun into the workday. Of course, women do some of these things, but often it's not with the same relish and absorption. Have you ever seen a woman playing golf alone?

Is pleasure a gender problem? I called Mihaly Csikszentmihalyi, a professor of psychology at Claremont Graduate University in California and author of Flow: The Psychology of Optimal Experience, to find out. "How do you know about gender? We haven't published that research yet," Csikszentmihalyi said, somewhat taken aback. It turns out that he and his researchers had noticed the same thing. Studying thousands of individuals, they'd observed that men seem to have an easier time moving into the pleasurable state of "flow"—that zone of absolute abandon.

Next: How men and women think differently

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