As much as I believe, that it's necessary to impose some extra rules on yourself, to keep these games fun and challenging, I don't get the appeal of no-reload-games. Ok, it's a challenge, that much I get, but it's not in the least a fun one to me.
Of course, I don't reload after each undesirable outcome. For instance, I don't reload for more hitpoints, although if there where a mean HP option (instead of max HP), I would probably use it. Also in IWD I would never reload for better random items (although the game seems to be determined to screw me with elven chains, which I get in abundance when I don't need them, whereas my all bard party got none).
However I hate the notion of having to start over again after a lost battle. 'Who wouldn't?' one might think, but given the popularity of no-reload-runs here, I will give some reasons.
1. Given my restarting issues (which I also seem to share with many people here) I already see the first maps way more often than later ones. I absolutely don't want to worsen this imbalance.
2. Fights are much more exciting, if they can go wrong, whereas in no-reload-games you do everything to minimize that possibility. I like taking risks, like going on with only few spells left and low health. Actually a rule I often use is, that I don't rest before almost no spells are left (around 10%, depending on the party setup). It's really fun sometimes, to see how you can survive a battle with only a few highly situational spells.
2b. I like adjusting tactics. One of the things I enjoy about these games is to fail horribly, and then thinking about what went wrong, what could be done better and finally succeeding. You obviously can't have that in no-reload.
3. I couldn't resist to min-max a no-reload-party. Sure you don't have to, but still - you will be much more focused on survivability.
4. You pretty much need metagame knowledge to do this in these games, as some things thrown at you are just unfair, like death spells or imprisonment. You can prepare for that, but you have to know it's coming.
5. Some game systems are terrible, like spell failure or pickpocketing. In a no-reload game I would just ignore that there is pickpocketing, because the possibility of turning possibly quest-relevant NPCs hostile seems just not acceptable. It might be possible to just accept the loss of some spells, but when this happens with certain spells it just drains too much fun out of the game, so that I decided I don't wanna put up with this stupid rule.
6. Sometimes I like to relax while playing.
So let's discuss and maybe add or subtract some points!
edit: added 2b.