Until recently, I have never painted a miniature. Actually, I had never painted anything smaller than a wall. On a whim, however, I picked up Reaper's learn-to-paint set and had an absolute blast learning a couple techniques like dry-brushing and washing. I was also immensely proud of the results as they look as good, if not better, than many examples I see online. I then picked up Reaper's level 2 set (lining a shading), grabbed a dozen brushes at a hobby store, and raided my local game shop for a whole pile of Reaper minis. I have found that spending an evening painting is quite cathartic.
All that said, it takes me a good deal of time and effort to paint a single miniature. I understand that the hobby isn't a quick one, but I can't imagine ever taking the time to paint an entire game. When I open Blood Rage, I certainly wish the minis were painted, but I can't even fathom how long it would take to complete the game. Perhaps some day I will work on my games with only a handful of minis, like Shadows Over Camelot, Fury of Dracula, Specter Ops, etc., but I may never get around to my mini-heavy games, HG Wells be damned.
All that said, I know that war games are a different sort of beast, so if I were buying some minis and assembling an army piecemeal, I may take the time to paint. I don't really play games like that, though.