Depends on how many difficulties there are. If there's the basic Easy, Normal, Hard, I go for Normal; but in the case of, for example, Halo, and there's Easy, Normal, Heroic and Legendary, I go for Heroic, and do Legendary later (also applies to Recruit, Regular, Hardened, and Veteran in CoD).
In sum, I go for the one a step below the hardest.