all the freaking time, especially in Fallout 3 / New Vegas.
Like Ethan said. "I'm about to open a door." *save*
"I'm going to engage in a conversation" *save*
"thinking of stealing this..." *save*
typically I just overwrite my saves, and may have 2-3 save slots used at any given time, first being my main, then another at a storyline crossroads, so I can play it this way, then the other way to see both outcomes and which outcome is more preferrable, and the third, especially with fallout 3, is right before I leave the vault, when I can change my character's appearance, specials and skills, so I can basically make a new character without playing through the vault area again.