Depends on what type of game and what for.
For RPGs and large adventure games, I only usually use them for side-quests (& collection quests) and I'll usually wait until the 2nd playthrough. Even then I'll only consult if I'm really stuck and to make sure I get all the side-quests.
Otherwise, only if I get really stuck and I'm completely out of ideas. Usually it turns out to be something really simple that I overlook or don't realise I can get to area x by simply doing y.