Hm. I usually try to beat the game on my own first (have succeeded in all attempts) and follow the plot line through, and after that use a guide to find out all the secrets and side-stories. I also spend more time trying to find secrets than during the first time.

Oh yeah and I, too, have the same habit as Yuffie 514, saving right before the last fight and beat it over and over again to see the ending :)

FFVI: two times plus now third time going, a project we have with my bf ;P (but haven't played for a while)
FFVII: still the first time running through. I'm stuck somewhere I can't remember.
FFVIII: probably the most times I've played a game. Now sixth time going. I know the game almost like the back of my hand, though I STILL can't get the Three Stars from the Liar Rocks in Esthar (disc 3, Obel Lake Mystery quest), I just keep getting past the point where it should be *blah blah*. But I love the game and will probably play it a gazillion times more :)
FFIX: two times. Not really something I enjoy to play. It was kinda boring the second time around (though I love the Chocobo minigame)
FFX: two times through, though I've had to start over twice because my brother went on and deleted my saves a couple of times (really annoying, yes it was...).
FFX-2: also two times. First time got 52% only (note! without a guide!) and the next time leftwith 99% (;_; I couldn't get the Calm Lands mission complete from the publicity stuffies, and goddamnit I won't play the game again just for that one thing.)

Other than FF's... I've played Chrono Trigger twice (but the second time I went straight to the last battle from the right platform in the Millennial Fair), Devil May Cry twice, Crash Bandicoot 2 (:D) thrice .. hm. and probably a few other games aswell but can't remember anything more right now. *going to sleep*