Been playing on the highest difficulty possible for years. I always do that. Plus it forces the learning curve up meaning I get acquainted with the game's true capabilities faster.
I might scale down depending on the AI. Insect like behaviour and impossibly accurate enemies in shooters sometimes put me off and I'll scale accordingly.
I've never been a fan of the "Extreme" difficulty of Metal Gear, I'll admit though. Prefer Hard myself.
But yeah, beside the unlock rewards, it's usually a more gratifying experience. I also find that most games have an unlockable difficulty and it's my experience that you might play a game on one difficulty, and then maybe continue past the conclusion unto a higher difficulty a second time.
Willing to scale up again is a lot less common, so there's that too. Ha ha.
I mean, how many people do you know that play a game on every difficulty possible? I certainly don't know any. Most people pick a difficulty and maybe scale up, but you don't see too many "Hardcore" difficulty guys that even entertain the idea of playing on Very Easy later. Ha ha!