The problem with shaping our characters in RPGs the way we want, is that sometimes it is not a matter of "choosing the right outcome" but "misinterpreting the poorly written dialogue" or "not being given all the sensible options you should have been given."
The anecdote Hindmarch shares about the Burke/Simms scenario, and the Tenpenny Tower issue brought up by the other posters here, both in Fallout 3 describe not a feature, but poor game design.
In Megaton, you know Burke is up to no good, but if you kill him yourself before he goes hostile against Simms, you lose karma. To some degree that's understandable--killing someone in cold blood isn't exactly a good thing to do, even if the person is bad news. You can't warn anyone else about Burke except Simms, and you can't offer Simms that you'll take care of it yourself. You can disable the bomb, but then Burke just leaves, and he never gets punished (why can't you stop him and turn him in then?). How you resolve that situation is extremely limited, and I find the problem there aren't enough reasonable choices to begin with, not that you become "forced" to live with Simms' death if you failed to enter VATS quick enough upon Burke's drawing his gun--or just let him get away.
Tenpenny Tower is even worse. The dialogue you have with the ghouls is more than adequate to display to the careful player that they're obviously up to no good, and that your trying to let them in "peacefully" will lead to disaster. But you can't convince them to leave, and if you fight with them--even if you provoke the ghouls to attack you through dialogue--you lose karma, even though there is blatant indication these guys are bad news, not to mention at that point you're defending yourself. You can't talk them out of it, you can't warn Tenpenny Tower to be on their guard even if the ghouls are let in, even though you can get the information that the ghouls are up to no good. You're railroaded into two choices that will give you bad karma (in game or in your own mind) for absolutely no reason whatsoever other than horrible writing. The "best" choice you can make is to never solve the quest, but then it just sits in your quest log like a freaking albatross around your neck.
The difference in tabletop RP is that you can talk to your human GM to get clarification on an issue. You can clear up misunderstandings, and most of all, you can explore all options with a storyteller who is capable of reacting appropriately to any solution you can think of. I am absolutely certain that if I ran Tenpenny Tower in a tabletop game, my players would come up with any number of solutions to the problem without getting any innocents killed.
I therefore have no problem with "save and reload" if the consequences of my actions don't make sense or I am not given adequate choices to resolve a problem in a sensible way.
Of course if I KNOW I'm making a risky choice, I usually live with the consequences. But there's a difference between risk taking and being "punished" by a problem of limited choices, misinterpretation, or generally thoughtless writing.
