They're not as ubiquitous as they once were, , and you can thank the proliferation of reward systems like Trophies and Achievements for that. Games that do ship with cheat codes built in usually hit the player with a penalty, like an inability to save the game or disabling the code which awards an achievement for accomplishing a particular goal. Nobody, after all, wants to see someone Platinum the likes of Dark Souls on day one simply by putting in a code for infinite HP and brute forcing their way to the end boss. :)
RE: To Guide or Not to Guide: Secret Codes for Super NES (1996, Brady Publishing)