I'm with most people in here: If I get really stuck, I will look to a walkthrough, otherwise I try to tough it out. My personal standard is if I'm stuck for a couple days of trying a lot, or if I'm stuck for about a week of trying occassionally, I'll resort to a walkthrough.
However, there are just some missions where walkthroughs don't help... for example, there is a Nod mission in Command and Conquer 3 where it literally comes down to "You need to get to this location at a certain time or you're dead." I have yet to even finish the mission, much less the campaign, because I hate missions where surviving each leg of the mission is dumb-luck.