I used to always play games on easy first, just to explore the game itself, then up the difficultly accordingly. But due to mocking by friends, I've started starting at the normal level. I did slip back once though, when I first got L4D2, an experienced friend and I both got killed by a Tank on the second mission. I totally played the rest of the game offline and on easy after that so I could know what to expect from the missions.