I always play on normal difficulty, at least to start off with. I like to get the game completed without too much struggle and I don't fancy spending more time playing through a game than I should be. If I complete the game on normal and I feel confident enough to take on the hardest difficulty, I will, as long as the game is still fun. Also, you get achievements in some games for completing parts of the game on the hardest difficulty so there's also something to look forward to.