In case of RPGs, FPSs, action games and similar I always start on Normal. Not that I'm a hardcore tr00 pl4yer, but unchallenging games are getting boring fast, and I almost never have trouble keeping up on the default medium setting.
There are exceptions, however· Playing through Dragon Age I found myself more times than I would like to in the uneasy situation when a fight was too hard on Normal.
On the other hand, I beat Mass Effect on Insanity and found it not very challenging. ME2, I beat on Insanity twice.
In strategies, I usually begin on a lower difficulty setting, to get accustomed with mechanics, than gradually raise the bar.