I do it from time to time. I even try some of the built in challenges like Luck Mode in SotN (much harder than it sounds...) and I like to screw around a lot.

I've done no power-ups on Mario games, no boss weapons/special weapons on Mega Man games, I've played WRPGs with the intent of making my character like characters from other media such as my Venture Bros. Fallout 3 file.

Like Bolivar to some degree, I tend to stick to roles in my RPGs, I find making everyone into Red Mages sucks the fun out of games so I've become pretty obsessive about giving every character a purpose in games where I can make anyone into anything. It's usually more fun and makes the game more challenging.

I've also begun to play some of the MGS games with a strict "no tranquilizer/low kill" rule set where I try to get through the game without killing anyone that I don't have to but not use the game breaking tranquilizer gun. You get more creative this way and I feel you start to really utilize the intricacies of the games engine to get results.