I only pull all nighters when it's work related, or when it comes to school for projects. Also, in my case have always found studying anything right before the exam doesn't work for me. I tend to just remember what I read last and forget alot of the other stuff. As was said before, pulling an all-nighter before an exam isn't a good idea. Your brain is in too hectic of a mode to be able to retrieve information properly (for most that is).
On cheat sheets. Alot of professors/teachers allow you to have them because the actual act of writing things down greatly increases your retention of the material. Students spend time finding the most important information and writing it down, sometimes several times in efforts to make a more efficient "cheat sheet". Alot of times, because of the work sorting out the important bits and writing it out, therefore more solidly enforcing it in your memory, you don't even use it for most of the exam. Though when it comes to physics/math formulas this isn't usually the case.
