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It depends what game it is. If it's a game series I'm familar with then I'll put it on the hardest one. If I'm new then I'll go with normal and adjust if needed. Some of the best playthroughs IMO are on the hardest difficulties.
I try for hard, as I prefer to play the games with some grey matter, but I was playing Halo 4 on Heroic the other day, and it was pissing me off fiercely because for some reason my needler didn't home like the needlers that almost every other enemy was wielding.
Unfortunately, I perfer Heroic because the Elites cloak, but on lower difficulties, it doesn't even feel the same, on normal. because it's such a huge drop in challenge.and i'm not bored with it.
So yeah, I usually stick to hard
"does the game give you any guidance at some point? How do I f***ing figure s*** out?" - darksydephil, trying to beat the opening of Bayonetta