depends on the type of game,
fps, (depending on fps itself) i usually like to sneek up on enemies and then blow them up, but then again im used to ammo conservation so that would explain it. its kind of hard in some multiplayer fps games though.
shmups: blowing things up is part of the job, kind of hard to hide from enimies on a scroling screen.
rpg: sneeky sneeky, dont underestimate the sneekyness of a mage, who then procedes to blow things up.
everything else: ahh i cant be bothered making a huge post, so generally sneek past, then blow things up.