Whether it's cheating or not is somewhat subjective, although I'd say it is. More importantly, who cares? I'm not sure how you could gain an edge in MP games by having a different time, and in single player, well it's your game. Do what you want. Of course, it does depend on the game as well. Setting the date forward in Animal Crossing to get the special christmas event thing is less cheating than setting the clock forward in... I don't know to get butt loads of money or something. I'm sure there's a game you could do that, I forget what...
For the record, I don't do it, ever. But that's me, I'm a retard sometimes.