But I'll echo what someone else said; it's only a game, intended purely for your enjoyment. If savestates make it fun, then they are a-o-k. It only becomes cheating, if you yourself have imposed a challenge on yourself as you play.
The problem comes down to the skill of the game designer, I think. There are some bits of game design that are flat-out bad
, but I think there are some bits where the game designers deliberately set out to make a challenge that could be overcome with some exertion and ultimately provide greater satisfaction than you would otherwise find if you circumvented it.
I played through Zack & Wiki on the Wii a while ago and it's such an excellent game, but I think I severely diminished the experience by deliberately avoiding the built-in system of lives and hints that the game provided, out of the belief that there would be some kind of reward that way. There was not – and I most certainly would have enjoyed myself more if I hadn't wound up replaying some sections over and over again.
But then there's the Pit of 100 Trials in Super Paper Mario, which is oddly one of the most satisfying experiences I can recall. There's such a feeling of isolation as you go deeper and deeper and contemplate whether you should give up, exit, and save your accumulated experience or press onward and risk it all. Save states would have made it quite forgettable.