My veto priority is:
1) Kill the KC-Masq pin, or remove Possession iff Ambassador/Masquerade are in the game.
2) JoaT, JoaT, JoaT. DoubleJackBot games are extremely unfun and I suck at them because I can't resist the urge to do something more interesting.
3) Other cards I have a distaste for, mostly because they encourage BM games, weird Duchy rushes, or are otherwise annoyingly high-variance. Envoy, Duke, Baron, Familiar, IGG are frequent targets. I do NOT consider frequent bugbears Tournament, KC, or Possession to be swingy in these ways, I'll always keep those cards (well except for Possession/Amb games).
4) If I don't have a lot of time, I'll speed the game up by removing other cursers or Ambassador, but normally I don't mind them so much.
5) Failing that, I'll veto an irrelevant card to preserve the potential for interesting combos or just go random.
I have veto set to "don't care"; it's nice to have but all-random setups are good too (and if they have JoaT then I deal with it).
In short, I veto to maximize my enjoyment of the game; trying to win is obviously a big part of that enjoyment but is by no means the only part.