If you mean ACTUAL RPG's, like BethSoft's lot, Deus Ex to an extent etc where you play a role and follow it through then I let the dice fall and see what happens. I like sneaky types quite a lot in Oblivion, by far my favourite type to play (though orc with a warhammer was pretty cool). But if it goes tits up, say I miss the shot with my bow and instead of nailing him through the eye my arrow embeds itself in the guys arm, he starts screaming and a half dozen bandits are trying to get down my throat I don't panic and reload.
I fight, maybe I run. My guy has the stuff to deal with this, it's why I took those mysticism lessons back home and learnt invisibility, it's why I know where the traps are behind me. Fall back, draw them to me, let them hit those traps and die. Or of course, draw sword and shield and fight my way through them. So much more fun than following a script, it's great when everything works, no doubt about it. But improvising with a character is equally fun.
Levelling games like FF's are different, I try and do everything perfectly there because...well, I don't know, it's not my character, it's the game character and a lot of it for me is seeing how much content there is. I like hunting down sidequests and special bosses etc.