You see, what I would do would depend upon a lot of factors.
There are places in the past I would like to tour, but only under a cloak/ in a way in which I wouldn't be able to botch anything up. Otherwise, I would have to study really hard, become an expert on the era, including learning the langauge and devloping an immunity to various bacteria present in the food an water of the time, and of course, make sure whatever fuels my time machine exists in said era.
The problem with going back to "learn the truth" about an era, which was mentioned by Sir Quaffler, is that, much like traveling into the future and coming back with warnings, people will treat you like a Cassandra - there are a lot of things people won't believe unless they see them for themselves. Imagine, for instance, a time traveler from the year 1998 traveling to a certain day in September, 2001 and then trying to go back to 1998 to *frigging warn America!* - they'd not only probalby not succeed, but they'd be arrested for "making terrorist threats" and would become one of the prime suspects when the improbable thing our country thought it was immune to actually happened.
I could see myself in a non-saintly moment, going to the future, learning the outcome of certain wagerable events - I.E. "Sports Almanac" in "Back to the Future." I'm not normally a gambler, but if I had a chance to set myself up for life, to guarantee a better future *for myself* than the one I feel like I'm staring down, I'd take it. It might be a little skeevy, but, honestly, who among us wouldn't at least be tempted? I believe in honor, but I'm also pragmatic.
Then there are the depression-moments. I once had an idea about writing a story that I never could quite get all the ducks in a row for about time travlers trying to "ret-gone" (as TV Tropes puts it), THEMSELVES. I.E. if you ever feel like you've been a waste of life and suicide just wouldn't be enough... that your very existance has left a scar upon the world and you have a chance to reverse "It's a Wonderful Life" yourself, would you, in that peak of pain, do it? The ultimate suicide - preventing yourself from ever being born. I've had thoughts along those lines... in fits of unwellness. Most of the time I'm okay, but... and I know I'm not the only one who'd be tempted to abuse time travel in such a way.
All that said, my favorite time machine is the DeLorean from Back to the Future - preferably the version that has flight-capability. It's actually very impractical (the need for both a massive dose of electricity / fusion AND gasoline... the issues of this being pointed out in the movie), but it's still cool. I'll take it for style (and nostalgia) alone.