I don't use them now, but I loved to use them back in the day. Often instead of buying games, I would just take one of those game demo CDs that came with a computer magazine, and play those ten minute vignettes over and over, ad nauseum. Cheats let me extend the play-ability of these even further, and even allow a bit of role play. Immortality modes on Rainbow Six let me saunter through an Egyptian museum, blasting away terrorists at my leisure like the Terminator. In Hidden and Dangerous, "zombie mode" let you come back from the dead, even if your limbs had been blown off. It is quite possible in that to attach bombs to your own legs, wander into an enemy squad, wxplode, and then bring yourself back to life.
It seems like cheats are fewer and less interesting now. Back then coding let people have giant heads and over-inflated chests. Nowadays games are shipped without cheats at all, unless you mess around with the sourcecode.