Natalie, I prefer to use guided tours in some locations, as they provide a lot of historical information in a short period of time. Also, as someone else mentioned one can ask questions if desired.
I used Rick's I-Pod audioguide for the Louvre, and I found that approach seemed to work reasonably well. It allowed me to tour at my own speed, and take a bit longer admiring some of the art.
For the Colosseum in Rome I would highly recommend the "official" guided tours, rather than renting an audioguide or taking one of the tours offered by the "English speaking" guides that work the crowds outside. The cost was only about €7 (might have increased since late 2006?) and "whisper headsets" were provided to the group, so that all could hear. The Guide (Barbara) was extremely knowledgeable and she provided an exceptional tour. If you're interested, you can book the tours at the small booth just inside security when you enter the Colosseum (same booth rents the audioguides). I found this to be a much more interesting and rewarding way to learn about the site.
One other Guide that I'd highly recommend in Rome is Francesca (listed in Rick's book). She provided an outstanding tour of parts of Rome when I was there in late April. If you want to see specific sites and your budget will allow, I'd definitely give her a call!
I just returned from Munich and took the "Munich Walks" tour offered by Radius Tours. The cost was reasonable and I felt that I learned a lot about the history of Munich from the tour. I also took the Radius tours of Dachau and Neuschwanstein when I was previously in Munich in late 2006, and both of those were excellent also.
Hope this helps? Happy travels!