I like Mirex's opinion... I like to try to beat the game without a walkthrough, and then [if its a good game] complete it again later with a walkthrough so you can make sure you finish all side-quests, get all secret items and spells, and don't miss anything cool, etc.
Problem is, its so tempting to look at a walkthrough when you're stuck... but often I can just stare at the problem long enough to figure out what to do.