In role playing games I almost always end up checking them, many games have super cool hidden items that can only be obtained at certain points. If you pass that you might never get another chance.
Console RPG's are much worse. You often need to pick up a special item at a very specific time and if you dont, it could screw up chances to get cool stuff later.
Final Fantasy 7 is a prime example.
You need to max out one of each type of magic, summon, and command materia to get the Master Materia for each type. But many of them can only be obtained once in a locked area of the game. If you dont know about it, or dont notice it, you are totally boned. You will never get those spells/abilities and never have a chance at its coorosponding Master.
Baldurs Gate 1 & 2 and KOTOR 1 & 2 are good examples for the computer. There are several places you cant go back and pick up later. If you miss the special items there it may make other areas really tough. You also miss out on very nice upgraded items from Cromwell or Cespenar.
For example, if you have the Mace of Disruption +1 in your inventory while visiting Cromwell he wont say anything about it. BUT, if you have the Illithium Ore he will mention the possible upgrade. The only problem is: it seems like just a normal quest item, it weighs an aweful lot, and most folks would be inclined to get it to the artist and complete the quest as soon as possible.
Unless you read an online guide you wouldn't even know about it. (The Official published guide from Versus Books excludes that one item, possibly because the master game explorers and strategy guide writers didn't even notice it.)
For many RPG's, they are pretty important.
For shooters and RTS's I only use them if I am totally stumped and cant figure out how to progress.
It was also nice while playing Grand Theft Auto and Test Drive Unlimited. You can run around for hours in those games and not discover all the neat special places.