I used to have tons of fun on San Andreas with my buddy. We'd get high, and see how long we could survive rampaging around the city with the weapon, ammo and health cheats. Good times.
Multiplayer, I do get annoyed, but I've only played occasionally. It depends how you define cheating, though. I've had people quit so that they don't lose a PES match against in. In split-screen, my brother (who played it every day) would always choose certain maps on CoD: World at War because he knew where there was a glitch to get him onto a rooftop or whatever. I call that cheating.