Depending upon the game I may choose something else, but normally medium on shooters and RPGs and easy on RTS's. But again, this does depend upon the game once again.
If I had started Half-Life on even medium I think I may have been causing 'ol Gordon to be gibbed millions of times more than I was on my first playthrough and the same for the first Star Wars: Battlefront, but in the second of both games I was able to play on medium or hard after a few minutes of getting used to the controls (which hadn't significantly changed mind you).