I love cheats and prefer playing on PC for the reason that I can tailor and tweak (most) games as I choose. I hate God Mode/Invincible type things though; I usually cheat to tweak the experience (and challenge), remove frustrating annoyances or in many cases, create a NG+ mode.
Most games I play are RPGs, in which characters develop over time. I always play them once (at least) as the developer intended (unless there are major issues or design decisions) before having at it. On a subsequent playthru, I don't want to wait until the end to get the nice goodies, so I'll have the money to buy the best stuff, SPs to level up the best abilities, etc as appropriate. Basically I play the game with my rules, not the original ones.
My favourites include:
Saint's Row 3 - Permanent Saints Flow powers [http://www.saintsrowmods.com/forum/index.php?threads/quick-super-power-mod.650/]. Also, all the legit DLCs that add endgame items (rocket bike f.ex) early.
Skyrim - Too many mods to mention, but my own "Chinese" Daedric Stealth Suit [http://skyrim.nexusmods.com/mods/14730/] mod, flying vampire lord mod (for Dawnguard), a mod to remove Werewolf restrictions (can be both WW and VL, can change multiple times a day, can change back at will, no time limit, more damage/resistance, auto-reequip gear), faster movement speeds and a "Bag of Holding".
Deus Ex: HR - Add Debug Menu [http://forums.eidosgames.com/showthread.php?t=121245]
DA:O - Better shapeshifting and extra skill trees.
ME3 - My custom coalesced.ini is heavily tweaked. I've disabled all the galaxy map/reaper bollocks, skipped the scanning/resource gathering shit, unlocked all weapons/outfits/armours/armour pieces, infinite money, tweaked some weapon values to make them more enjoyable (mostly clip size and spare ammo), all characters have enough SPs to max all skills, fixed camera FoV.
Alpha Protocol - Tons of money, in-game use EMP grenades to skip all "bypass" bollocks (proper mechanic, not really a cheat), made all the challenges pathetically easy (get all the minor bonuses without having to make a concerted effort) as I think they distracted from the game in a MAJOR way.
FO3/FNV - This Beretta pistol [http://newvegas.nexusmods.com/mods/40284]. I love it. My Wanderer and Courier were both stealthy pistoleros because of this cool gun
So as I showed, most of the time for me, cheating isn't about winning, making it easier or being uber. I just like to change the rules; remove the rubbish, boring parts, enhance the good parts, play the most fun character, etc. I remove grind, make pseudo-NG+ modes where none are available (i'm never grinding smithing, alchemy or enchanting in Skyrim again). I don't like God modes but rather, being the best the game legitimitely allows you to be, from early on.