I think a lot of it comes down to material vs non material quality of life.
First of all, very little of taxes evaporate in e.g wars. That helps. Most of it seems to fund things that make me happy or at least not worried. I'm not worried about getting sick, old, whether my kids can go to university etc. At least I don't worry about the economics of it. In the US I'd live in a house twice as big and I could likely drive a fun car on the weekends. On the other hand I wouldn't be doing 8w of time off every summer and 2 years off with the kids. I honestly don't mind 30% income tax and a large chunk of payroll tax, just so I don't have to pay health insurance companies, do pension saving or save for college.
All the money I have at the end of the month is basically for spending. There is no need to save it other than in case the car breaks down or similar. I keep a months salary or two on hand for that. I don't need a pile of money for growing old or being sued or sending the kids to college.
When it comes to "taxes on fun" I'm inclined to agree a bit more - some things feels like gov't parenting, but it has some nice side effects such as making people drink nicer wine (a $2 bottle of wine would be $8 in Sweden while a $10 bottle might be $10 in Sweden. So understandably the $2 bottle isn't even imported).