Depends on the game. If it's my kind of game (RPG, FPS, GTA-like games etc.) I'll just crank it up to the max to make it last longer and give me a good challenge - few exceptions of course, like DA: O, though I avoided the higher difficulty there cause the last such game I played was NWN where I didn't remember myself kicking enough arse so went with a Normal. If it's a strategy game or something that I'm not sure will suit me, I'll go with a Normal to start with, then crank up the difficulty if I feel like it later.