Lord Kofun said:
Depends.
Horror - Easy (I prefer the experience to be more scary than frustrating)
Weird

especially in horror games, I pick hard, for it makes the enemies harder (doh) thus more of a threat. Most _real_ horror games (not counting in shooters with a lot of gore) let you escape from the monsters anyways, instead of making you fight them. Only good exception (that comes to my mind now): Condemned - but they managed to make the gameplay both fun and suspenseful at the same time. Kudos to Monolith.
In most other games I pick normal, since I'm not that much of a great gamer (I wanted to say nerd but that might offend some of you hee hee

) but don't like to rush through it without having any challenge. I go for the overall experience, which sucks if you get no tension from hard parts.