Hard, straight in. These days most fps' seem so much easier than they used to, so in order to save myself the tedium of replaying the same game again only slightly harder, I look to get the best out of it straight away. If I like it, then I'll replay it. Crysis is a case in point - played it on Hard initially, but it was still too easy (lol), and now I play it on Delta regularly for fun. Gotta love those base infiltrate missions
Some games, however, defeat me. Last time through HL2 (a year back) I got stuck in Nova Prospect, the 'defend this bit of corridor with a trio of sentry guns' bit. Sad to say that I had to drop the difficulty there, just couldn't work out how to win

Havn't quite got back there again on my latest install, so I guess time will tell whether I've improved since then (though I did finish one of the earlier sections with just 1hp remaining... not sure if that's a good or bad thing, heh).
Strategy games however are a different story. They take longer to learn the ins and outs of them than fps', which have become somewhat generic. Plus, quite often the AI cheats horribly, which is never fun when you're learning to play. Then again, sometimes the AI's abysmal, and only requires a basic understanding of its attack patterns/base gameplay dynamics to crush - DoW 2 being a case in point (I hear that the AI file is, in face, empty save for some left over CoH engineer code. Go figure). Last time I tried Medieval 2 TW on hard I died, VERY fast (I swear they hack SO BAD).