I like to see where my choices lead me first, then if I get stuck after a couple of playthroughs, I have no choice but to look for a guide. Especially if there are different endings to get.
I started with Naruto, Pokémon, Dragon Ball Z, Zatch Bell, Tokyo Mew Mew and etc on TV, but at the time I had no idea what anime was. I think the first one I watched, once I knew what it was, was Death Note.