...but fighting games aren't fun in easy mode. I usually always go for the hardest in 2D Fighters. It's a better way to practice if you can get behind the AI being programmed to nearly counter every move you do, unless you're practicing combos.
Anyway, aside from Tekken 6 (and I was still new to 3D fighters), I can't think of any game where I played on easy. I always, always go for normal, and if I liked the game enough I'll play it again in hard, but when I think about it that has never happened. For single player-focused games, the difficulty system as far as I'm concerned always felt like an afterthought. The only game that I felt the difficulty system really made a big difference with was Wario Land 4, where the game was pretty much designed around it to compensate for the short length. There was no easy mode either. The levels just transform in each difficulty, with hard forcing you to actually look everywhere for the treasures and super hard annoying the living hell out of you with clever enemy placement.
EDIT: Oh, Elite Beat Agents/Ouendan got a really fun difficulty system. But it's a rhythm game, I'm not sure it should count, since rhythm is a genre that actually benefits from difficulty settings. (unless it's Rhythm Heaven.) I was mainly talking about the likes of shooters, adventure, platformers, etc. and not arcade styled games.