I usually try to play without, but as was said, sometimes it's almost necessary to have a walkthrough with me (not everybody can be a 1337 player or whatever). In some ways, it's kinda nice, since with a walkthrough it feels like you're able to explore every nook and cranny of a game... but it also takes some of the satisfaction out of doing things yourself. Yet, without a walkthrough, there's the chance of missing something that was really useful/cool, like an optional character.

My stance right now is to try to play through without, then play again with a walkthrough. But if there's time restraints, then I'd play mostly without, but peek at a walkthrough every now and then.