If I have nothing else to do, I keep trying. If I have no solution, I look up a solution and keep trying.
In Pokemon Ranger, a unique thing happens that only happens with some games: My hands become completely numb and I have to wait atleast one or two days to continue, esp. since I'm using my finger on a touchpad instead of a stylus.
I might also switch to another character/arc/level, if such a thing is available (like in Sonic Rush), or a similar game in order to get experience. I remember I did that alot when I had a GBA, since most games played the same way. Sonic Advance helped me complete a Megaman game which in turn helped me complete a SpongeBob game, etc. I've done the same thing with online games, using RS to help me with S4 League which helped me with CoH:GR, which then helped me with Vindi - which helped me with TERA...
Yeah, so I normally either "try", "get help", or "switch". Though I never cheat since that would ruin the challenge. As in, I use walkthroughs but no hacks.