I feel I get the most out of a game on the highest difficulty, I also feel it pushes my skills to the limit thus making it more satisfying when I get past a certain boss or complete the game.

I also do it for trophies - Dead Space (which I platinumed eventually *brag*) had a trophy - Complete the game on the hardest difficulty. I did it on hard, but doing that unlocked "impossible" mode. That annoyed the hell out of me, so yes, I think it's stupid.