I nearly always cheat in the GTA games. I usually find that once I get to a certain mission in the game where I keep dying then I switch to god mode and from there on I start playing around with the cheats. I've never really enjoyed the hand to hand combat and gun fights in the {previous} GTA games so have usually resorted to cheats pretty early.
However, in GTA IV, I still haven't found myself wanting to use the cheats. For the first time in a GTA game, I find the gun fights really quite fun. Particularly ones where you have to hide around corners. In previous GTA games I just got chewed up as soon as I entered an area.