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Essentially, a Walkthrough is a document that shows how to play through a game and win. With the rise of YouTube, Walkthroughs can be done by showing the actual gameplay by using a screen cam to capture the video sent to the screen as a film.
As opposed to a Strategy Guide, a Walkthrough is generally more frank about letting you know which items or directions you should go in and in what order regardless of the plot. When all text, walkthroughs can also get very lengthy and boring, but their biggest advantage is they can be collaborated on, continually updated, and are absolutely free.
The use of walkthroughs is a controversial topic among gamers. Some gamers equate them to using cheat codes and believe they essentially mar the experience, while others have no qualms about using them quite liberally, having the guide sitting right next to them, reading it as they play. Most gamers fall into some sort of middle ground. Many only resort to walkthroughs when they are really, really stuck, or when completing sidequests, simply because in most games, they make you go "Guide Dang It!"
Those concerned with spoilers can sometimes find walkthroughs that are vague in a quirky way and provide the most basic information, often dubbed "spoiler-free walkthroughs." Expect turns of phrase like "a scene will occur". The UHS web site provides a useful middle ground, allowing the reader to progressively expose more and more detail.
Sometimes, a game is so poorly designed that the player is stuck even for a perfectly obvious solution. In such cases, the only option left is to consult a walkthrough.
One very popular source for Walkthroughs is Game FAQs web site.
Compare Let's Play for a videogame run with additional commentary and to Playthrough which is a casual strolling through the game.