I've started playing games on their harder setting right off the bat, and if it's too much I can turn it down. DA:O on Hard, Darksiders on Apocalypse - whatever it is. I don't like being able to unlock a lot of harder and harder difficulties, but I don't mind what Dead Space did, giving you Impossible after beating hard. I felt that was worth it. I like when you also get a small carry over as well, I know in Darksiders you could replay on a harder setting with the Abyssal Armour, which is cool.
Something like Demon's Souls I really enjoy. The game simply gets way harder on your second playthrough but all your gear and stats carry over, so every time you beat it the game keeps getting harder but your character continues to advance with it. I'm only on NG++ (beat it twice) and apparently the game get's around 40% harder for the 2nd run, but after that it's like 8% harder - but considering how much slower you level up due to large soul requirements, it makes sense. This is somewhat of a more advanced system that Diablo 2 used where you went from normal to nightmare to hell but kept your level and gear. I like that.
I would be very annoyed tho, if I could only do normal until beating it, THEN go to hard, THEN to expert etc... especially if normal is a walk in the park, and the replays start you off from scratch.