That is to say, a game that permits saving but that you play without saving. There are some extreme examples where losing/dying means completely having to start over, perhaps losing weeks of progress, like Diablo's hardcore characters. That's a little too extreme for me. But then there are games where losing/dying simply means you suffer a serious setback. For example, I'm trying an ironman playthrough of the original XCom:Ufo defense, and I think I'm enjoying it a lot more than I would've if my soldiers deaths weren't final. Though, I'm using openXCom, and I've ticked a couple of boxes to even the odds a bit, like allowing my troops to strafe, and using the sequel's more forgiving damage model.

Recently I tried to raid a sectoid base, and sent in my most experienced soldiers. Things quickly turned sour as those with poor psi strength were steadily driven mad by the sectoid commander's mind control, causing the deaths of several of their squadmates in the process. Eventually I was left with only my captain sniper and a medic deep inside the alien base. They were trying to make their way to the base's command center and the relative safety of it's narrow corridors where they would be safe from a lone cyberdisc that was hunting them. The feeling of slowly moving through those poorly lit corridors, checking the motion scanner each turn for those dreaded 4 blobs representing a cyberdisc, and knowing that death was final, was super exciting (screenshot shows the captain to the left and the medic to the right, with motion scanner equiped. The blonde soldier died a few turns later, literally frozen in place due to fear until a sectoid found her). The first time I played I used saves a lot, and I very quickly became bored as I fell into the habit of loading whenever one of my soldiers died.

Played Freedom Fighters like that. Took me a week to finish the game.

no
cant be arsed

Love it in XCOM, sadly means I've never gotten more than a few hours into it.

I enjoy Diablo 2 in hardcore mode only ;)
When you’e played it a lot in hardcore mode, the "softcore" mode gets boring quickly…

I like iron man mode in Crusader Kings 2 because when you accidentally marry your own aunt and give birth to an inbred imbecile who becomes your next heir you have to live with the consequences.

Inbred Holy Roman Emperor doesn't go down too well.

Personally, I dislike the ironman playstyle. In fact, I consider games that don't let you save reasonably often to be flawed.

In fact, when playing classic Wizardry (by which I mean 1, 2, 3 (which I haven't played), 5, and certain spinoffs (Wizardry Gaiden series), but not 4), I will actually use save states or similar tricks to avoid the ironman aspects of the game. (Of course, I may still experiment with some of the mechanics, and I may sometimes even try to exploit them (see my recent topic in the Wizardry sub-forum about an exploit involving Wizardry Gaiden 4's Heavy mode and level drains), but I won't ever hold my self to them).

(Incidentally, Wizardry was my first experience with such behavior in an RPG, and I didn't like it then.)

As for some of the reasons I dislike ironman:
*: It discourages experimentation. I like to be able to experiment with something and then reload after seeing what happens.
*: It punishes bad luck too much. Got randomly teleported into rock? Well, the game just randomly deleted your save, and it's definitely *not* a bug. Think about that for a moment: You have a game that will randomly delete your characters, and it is not a bug. (Also, don't forget things like ninja/dragon ambushes, and in Apple II Wizardry 1, spellcaster ambushes.)
*: It encourages the bad habit of not saving.
*: It encourages too conservative a playstyle. I find it more fun when I can take a risk that might yield great rewards without jeopardizing my save if it doesn't work out. (Here, the penalty for failure is that you wasted your time, but can still reload.)
*: Games are not guaranteed to be bug free. What happens if the game crashes and you haven't saved in a while? Or, for that matter, if the game glitched and made you so powerful that the game is no longer fun? (Interesting side-note: When playing the Apple II version of Wizardry 4, my summoned Greater Demons glitched; their HP became 0 (so attacks that miss would kill them), they gained a breath attack (does 1/2 of current HP (= 0) in damage) that they don't normally have, and any Greater Demons that they would summon would start with so much HP that their breath attack would obliterate any do-gooders I happened to be fighting.)

Yeah I totally get that. Sometimes I just want a relaxing experience too. Personally it's not the challenge I'm after. I think it's the tense atmosphere that I'm after and the improved sense of accomplishment. The added challenge simply comes along for the ride. Also, for me at least, it's a pretty specific issue with XCom. It just doesn't work that well for me without a sense of real danger. I've tried to limit myself to only saving before missions start, but that quickly evolves into saving 2/3 times during a long mission. I just can't help myself :P Check out openXCom then sometime. There are [url=http://ufopaedia.org/index.php?title=Options_(OpenXcom)]several options[/url] that make it a bit less brutal. Strafing for instance is a huge help for peering around corners. Also, you can enable wounds for the aliens and make it so that you don't have to wait for crafts to be fully repaired/refueled before sending them out again. Nethack perhaps? I tried that once. I learned it was a bad idea to eat a leprechaun and step on a polymorph trap. I randomly teleported to a dangerous location on the level I was exploring, but was confident that I was strong enough to deal with any threat. Then I turned into a mouse.

No, I play for the story and characters, not the challenge...

Your last point is definitely valid for XCom, and I really hope it doesn't happen to me. I would keep backups of the saves just in case, but then I know I will be too tempted to use them :P Luckily the game has been pretty much decimated of serious bugs by this point, except perhaps when it comes to mods.
As for experimentation. Some games allow it regardless, of which (again with the xcom sorry) xcom is a good example. You have many soldiers, and can try what you want with the more or less expendable rookies.

Some games were made for Ironman style, like Wizardry 1-3 and Bard's Tale, where you can send a new party to resurrect the old one in case of party death.
Playing such games with save states is just sad.

For other games I usually go for the Ironman Light style, where I generally only reload if party death, especially if it's games I'm familiar with.

Then there are games that force you to play more or less Ironman, like Roguelikes and Aleshar: World of Ice, where you control only one character, and in the case of Aleshar (most difficult CRPG I've played) you can't even save in dungeons.

The only time I remember enabling an optional permadeath mode was in Diablo 2 for shits and giggles. Other than that, no.

for me 'ironman game' basically means playing paradox game campaigns with Ironman enabled. :)