There have been a couple of really good threads int he last couple of months talking about the concept of "cheat" days. I'll link them below.
My thoughts on this are pretty straightforward.
I hate the concept of a "cheat" day. I hate the word "cheat" when applied to what you eat. Because ... really? What are you cheating on? Yourself? Your life? Why?
I don't "cheat". But then I don't "diet" either.

I live my life. And my life involves eating healthily 90% of the time and knowing that 10% of the time (or less sometimes) I'm going to eat things that aren't healthy. But it won't be because I'm "cheating". It will be because I've made a choice to eat something I want w/out considering the calories or the fat or the effect it will have on my weight.
That doesn't mean that I'll sit down ever again and eat an entire bag of chips. Just the thought makes me kinda queasy to be honest.

But I'll use today as an example. Today, New Years Day, we've spent over at my in-laws. There's not a lot of healthy food around. I had a good breakfast - yogurt and fruit and coffee. But the rest of the day? It's been snacks, cheese dip, pizza, and a couple of beers. I don't consider that a cheat or even a treat. It just is.
And tomorrow I go back to eating my regular food in regular quantities. Because that's just my life. I don't do it once every week. I don't even do it once a month. I have maybe 5 days a year that I really overindulge like this. And then maybe once a week I eat a meal that I don't count calories for - like a dinner out with friends or a lunch at a greasy burger dive.
Anyway, that's my philosophy. You live your life.
Anyway, the threads that dealt with this topic fairly recently:
http://www.3fatchicks.com/forum/showthread.php?t=158211
http://www.3fatchicks.com/forum/showthread.php?t=154976
http://www.3fatchicks.com/forum/showthread.php?t=148147
.