One game in recent memory that I played without a strategy guide is Persona 3, and in a way I didn't feel it needed one. Sure, most games don't need a strategy guide to follow the story straight through, its when you want to find all the nuances of the game that they really shine. Plus, it was a PS2 game with no achievements or trophies and few side quests.
Recently I've been playing Chrono Trigger on the DS…without a guide. I'm stuck. I can not figure out where I'm supposed to go next. Its driving me bonkers. And that's not the only thing. I keep thinking I'm missing things I could get or see by just following from point A to point B to point C in the story.
Some may argue that I can look up any info I want online. Sure, I could. That, however, is horribly inconvenient. I sit on my sofa to play my consoles, my PC is at a desk. If I'm using the TV, my wife is often on the PC doing her thing. Its not like I have all the information on the Interwebs at my fingertips 24/7. Its much more convenient to have a hardcopy of what I'm looking for, where I can find things quickly and easily.
In my playthrough of Star Ocean: The Last Hope, I used a strategy guide and had quite a bit more fun than I did, even with Persona 3 or Valkyria Chronicles (another game I didn't have a guide for). Perhaps having all that info at my fingertips in the form of a consolodated guide equates to my enjoyment of the game? I don't know for sure, but I do know it bugs me when I know I'm likely missing something that I could have experienced if I had a guide for the game.
I'm prepping to play Dragon Quest V and Tales of Vesperia (finally) before long, I will likely feel the need to pick up guides for them before I start playing. Maybe I'm strange.