It depends on many factors for me. Do I own this game or is it a lender? What genre is the game? Have I liked it thus far? Some games I just wanna soak up and move on, like the Dead Space games, or as it shames me to say it, Dragon Age 2. Other games I like the challenge and amp it up, like the Halo games or Dragon Age: Origins.
I don't really feel bad about it, but I do get criticism but blow it off. I don't owe it to anybody to make my fun time into frustration time by unnecessarily challenging myself.