If you're playing an offline game it's your experience alone to enjoy as you please. Games developers do craft some brilliant games however and cheating takes away much of the challenge and accomplishment element they structured just so. Games are easier now than they used to be as there's never really a "Game Over", just a reload but even still playing through at least the first time should IMO be cheat free. It's not a question of "morality" or ethics...just your own enjoyment of the game. You cannot really claim to have beaten a game you've only beaten by using cheats.
Saying that, I personally enjoy beating a game once/twice for various endings (good/evil, etc) then maybe another play through to explore bits I missed and so on, and if available, I might use cheats just to have fun as I've already beaten the challenge. My favourite for this is when, in games like RE4 and Mass Effect for example, you can unlock powerful weapons/powers to start a new playthrough with, or in Goldeneye N64, where extreme skill in the game unlocks cheats (but you cannot unlock them if using any).
I did however get to the end of NWN: Storm of Zehir not long ago and found my party had no chance in the final boss fight. After 20+ increasingly frustating reloads with different tactics, I incremented my party's lvl, 1 level at a time, tried again, failed, repeated. Despite completing every side quest and about 50% of random encounters, I had to raise my party 7 levels (14 -> 21) before I could complete it. I don't know who they designed that fight for, but either I was rubbish, or my party were.
Oh...and those elephant demons in Jade Empire (PC) on master difficulty. Despite three playthroughs and almost every style maxed, I can't beat even one. Have to cheat passed them.