Have you ever had to save a game because you knew something difficult was coming up? I think we all have. I can't begin to tell you how many times I regretted NOT saving right before a boss battle or difficult battle. Usually this has happened when playing X-COM and Jagged Alliance 2, and Fallout 2, Advanced Wars, etc. (Where you can basically save at ANY time) but you get so caught up in the moment and/or storyline you completely forget. So if you'll join with me in this discussion, can YOU name any games you'd wish you HAD saved before you continued? Mine are Jagged Alliance 2 and Commandos.
Top of the list for reloading is probably Super Meat Boy. Thousands of deaths waiting for you in that game.
Wishing I'd saved? Dark Souls, about every five minutes. Presents you with a risk/reward scale so steep it's terrifying.
I've had some campaigns on JA2 go seriously awry. Panzer Corps has some pivotal battles you really do want to save. IIRC, Warhammer: Shadow of the Horned Rat was an absolute nightmare where one bad battle could sink your entire game.
Erfworld - the finest comic about turn-based gaming ever.