I usually start out on Normal, in any game I play. If I find it really difficult, in which case a "normal" actually means "grab your intestines and pull them out FROM YOUR EYES JESUS CHRIST HOLY MOTHER OF GOD HELP" hard, then I'll turn down the difficulty.
I used to ALWAYS play in Easy mode, I loved it, but I felt unrewarded and, frankly, kind of a wimp for doing so. So I beefed it up and haven't looked back. Besides, I've finally hit a point that I can handle dying a few times without wanting to drop kick my PS3 out of the window.
By the way OP: Haha knitting.
Kidding, in all aspects, just wanted to say that since you immediately brought out "Shut up" after admitting it. Actually my grandmother used to knit and I got some awesome stuff out of it, so kudos on you for admitting it so openly and good luck on all future knitting projects.
Edit: Actually when playing a flight simulator game like Ace Combat or HAWX, I always go with the HARDEST mode and most realistic flight settings. I find it way more enjoyable to be challenged in those games than in any other game where I hit normal and move up from there.