I always play on the default difficulty of normal games, unless that's painfully easy (the original Dawn of War, for example, was pathetic on normal because all the enemy troops had their damage and HP nerfed- I turned it up to hard for Winter Assault). I will NEVER turn a game down to easy, if I can't beat it on normal then I guess I'm stuck- this happened with Devil May Cry 3 (the original version, where the Japanese "hard mode" was rebranded as the Western "normal mode") when I got stuck on the Agni and Rudra boss. I will only play a game on hard if it's either a game I enjoyed enough to play more than once (Zone of the Enders is a good example for me) or if it's a game where the challenge comes from repeatedly doing the same thing progressively harder, such as Guitar Hero or Ouendan (I've taken both games up to Expert level).