I play every game I have on the hardest possible difficulty, as I feel I get the most of the game that way, and I will improve as a gamer by doing so. I will never lower the difficulty, as once I am challenged, I stubbornly persevere until I accomplish the goal. I will agree that it's not entirely logical, but there's some part of me that is so obsessed with overcoming difficulties, that I can't ignore it.
This has actually ruined games for me too. The most recent of which, being Hitman: Absolution. I jumped straight in on Purist mode, which the game strongly advises against. With the already unfair AI, matched with my perfectionist playstyle (no witnesses, no non-target kills, etc.) this mode becomes damn-near impossible to do. It became a constant trial and error exercise that completely rid the game of all fun. In fact, I never finished the game, I am one or two levels from the end, and I just got bored of it. All because I wouldn't drop the difficulty. But when I've finished with the more fun games I have at the moment, I will go back, and I will finish it!