I play on normal in the hopes of playing the game in the difficulty the developers intended it to be...and because, unfortunatly, the Harder Difficulties are too often archived by just changing some numbers to make your character die faster and fight weaker. (One of the worst things was the hard difficulty on Splinter Cell. Given the harder, more challenging conditions, "Hard" was generally desireable, but for some reason your non-deadly weapons where weakened to the point where things like the gas on sticky cams was useless, wich felt pretty much broken)
That said, once in a while (especially when Reviews recommend it), i turn up the difficulty and find some pleasent surprises. Games like Mass Effect 2 and Dead Space are much more effective on higher difficulties (although, unfortunately, Dead Space is a game that, for me, is either too easy or too hard)