On my DS and such games, I never use any cheats. I feel proud when I have things like shinies and EV-trained Pokemon without using any cheats. Many of these things take time, but it's worth it. In Diamond I have three shinies, Pokerus, max money, 100+ Ultra Balls, and a couple of Pokemon whose EV's are nearly maxed out, all without cheating. So I'm happy. Besides, with no cheating, I'm pretty much guaranteed safety and credibility in things like tournaments and even GTS trades.
However, I do like to use cheats in my "experimental" games, games I want to either play just for fun or use for the purpose of making videos and such. My perfect example of this is my Platinum. Because it's a rom, I can't trade or battle over wi-fi with it, nor can I use mystery gift. And my access to the Underground is very limited. So to make up for this, I use Pokesav to get some of these things. Besides, I can do crazy things like hatching Alakazams from eggs with it (that's the only way to add a hacked Pokemon to the Pokedex anyway). In this game, I also used Pokesav to obtain Shaymin and Arceus, simply because I wanted to experiment with using them. For extra fun, I gave Arceus Judgment (normally it can't learn it until level 100), obtained all the plates, and put the Arceus on my team for a short while. I also used Pokesav to create high-level "Pickup slaves", one of which was a shiny Pachirisu just for the heck of it. I might also use it to obtain HM-slave Smeargles or Mews in the future...
The other thing I use Pokesav for is convenience, so beating the game is a little quicker. I have used it to obtain a few TM's to teach to my team, to max out my team's EV's and modify their natures, and to obtain things like Berries and Master Balls. All this doesn't deter from my experience in the game; I still love the team I have there (even though Arceus is no longer on it).
One thing I never use is a Game Shark. I will never touch one again. The first Pokemon game I ever had was Yellow, and I eventually beat the game and really liked my team, which contained the highest-level legit Pokemon I have ever owned (a level 75 Hypno). Then one day my cousin told me about Game Shark. I was curious about it, so decided to try out a cheat on it. I forgot which cheat it was, but whatever it was, it deleted my whole game. I was devastated. All my experiences and memories of that game were gone forever.
However, I heard Action Replay was a bit safer than Game Shark, so I might try that on my other roms, which are non-Pokesavable... (I really wish Pokesav would work with generation 1-3 games... currently it only works with DPPt.)