I definitely prefer to have the choice if and when I save a game.

My leisure time is too limited to spend it repeating half hour section of games over and over again because of a difficult game situation without saving option.

As much as I loved the original Dark Forces, the developers' idea of only allowing to save the game after alevel was finished was outrageous (I developed some rather violent fantasies when I played that game).

Regarding the cheating argument: GAH
If I buy a game it's my business how I enjoy it.