Warning: there are spoilers for the current season of Lost in this post.
On Lost this season, the island's scientist-in-residence, Daniel Faraday, has discussed the time travel of the main characters in terms of what I have taken to calling The Faraday Postulate over on the TiVo forum threads. (It's only a postulate because we have no reason to believe it other than that he said it, and because he seems to be acting as the mouthpiece of the writers in this regard.) The postulate says basically that while time travel is possible, time is inelastic: you can't go back and change anything because whatever change you make is what always happened.
This is turning out to be a good move for the show. In fact, it seems like a lot of the big mysteries of the earlier seasons will be explained in the most satisfying way possible: it will turn out to be the main characters responsible for them, intentionally or not. It also suggests that the show has been planned all along.
For instance, early into season 3, in a throwaway scene, the Others have Kate and Sawyer digging rocks to make a runway in the middle of an island for no apparent reason, and we are led to believe that it's just makework: part of an effort to break their wills, or to keep them too tired to resist, or just to establish the authority of the Others. That it closely resembled the "chain gang" forced labor only seemed to corroborate this.
It wasn't until season five that we learn there was a very good reason for building a runway there, a reason that could only be known of through time travel: a second plane would crash on the island and use the runway for its crash landing. No one goes back in time and changes things so that they built a runway: someone goes back in time and the change that makes them build a runway is what always happened, what everyone always remembered.
This is the same device that underlies the fantastic The Terminator and which its otherwise excellent sequel gave up on way too easily. The best thing about the first movie is that, ultimately, Skynet not only could never have succeeded, but that its efforts are in large part why John Connor was who he was -- as well as why Skynet was what it was. Though you can enjoy the movie not realizing that and many people did (how they missed the life cycle of that Polaroid I don't know), having it in makes time travel so much more interesting.
The Faraday Postulate, as a storytelling device, neatly ties up all the problems with time travel in storytelling, notably the big glaring one: if you can send someone back in time, why would you ever fail at anything when you can just keep going back to try one more time? Kyle Reese would have us believe the only reason Skynet didn't just keep sending a second robot (to prevent whatever stopped the first robot), or a million robots, or the same robot a million times, is that they smashed the time travel equipment ("Nobody else comes through."), and one can assume no one else ever invented more later. But the existence of the sequels assumes there was more time travel equipment later: so why didn't they just go back to one of the many points when Sarah was an inch from death in the first movie, and push that last inch, instead of starting in a whole new situation ten years later? That is the only sensible move for Skynet to send the T-1000 to, but it doesn't, mostly because it would confuse the audience too much. You can avoid this with arbitrary limitations on time travel (once you've gone to a point in time you can't go to it again... the time you can get to keeps moving forward too, so the story's timeline has to also correspond to experienced time... or Kyle's one-time time travel option, for instance), but these answers start out contrived and become insupportable the minute you need a sequel.
Using the Faraday Postulate makes story-writing a lot harder, though. It all has to be plotted out beforehand. Using it in a roleplaying game is even harder still, unless you're very careful, and use ignorance as a resource. (If you can't contradict anything you know happened, the key to keeping your freedom of action is not knowing anything you can avoid knowing.) I'd like to try running a time travel roleplaying game this way someday, but I think most players would prefer the more traditional elastic-time version of time travel, and to just turn a blind eye to the problems.