I save all the fucking time if games will let me. Like, before and after I do anything.
"I'm about to open this door." *save* "I opened the door, nothing bad happened." *save* etc etc etc
I don't keep millions of saves though, I usually have about 10-15 and then I start overwriting the oldest one each time. I learned that from Fallout 3 because I had so many saves in that game that any time I tried to open the save/load menu it would seriously take 30 seconds to a minute to load the list.
I do though always keep a save from before this "part" of the game, in case I don't like what I did and want to go back. So for instance in Mass Effect that means I keep a save from before I land on each planet, which I then overwrite once I leave the planet. This is intended to prevent stuff like phallus' KotOR experience.