If it's a game like Batman Arkham Asylum or Bioshock where there's the classic Easy, Normal and Hard, I'll go for hard for a little more challenge.
If it's like Gears of War, Aliens vs Predator, Resident Evil 5 or Doom 3 where the hardest setting is pure BS with puke over it, then I'll pick the second or third hardest (though I've beaten RE5 Pro alone, never again)
I'm contemplating playing everything now at Normal and fight my OCD while enjoying the game to the fullest without allowing the gameplay flaws or my general suckness become too evident. At the end, it depends on the game: Silent Hill works best on Normal, as does Doom 3 or Resident Evil 5.
I like games with one difficulty setting like Super Mario Galaxy or The Legend of Zelda, they are so well designed that they don't need extra settings because they're fun anyway.