Cheating at a game is bending the rules a little bit, to make it easier on yourself or to change the overall experience. Most of the time, cheats are implemented to give users the ability to tweak the gameplay in a way which they prefer.
Cheating can help you achieve something, which would otherwise be out of your reach. It also enables you to experience a game in the way you like it. I for one always use cheats while playing Grand Theft Auto, not because I think it's too hard a game but just because I like it that way.