I pick normal or easy. I care about the experience of the game and for most that means the story. There are too many games to be played for me play a game on controller-throwing mode. I get no sense of superiority out of being able to play a game that has been made arbitrarily more difficult by giving enemies more health or throwing more of them at you. I don't appreciate that type of difficulty at all and that's generally the type you get from games that allow you to choose.
If I want difficulty I want it in an earnest form like Demon's Souls rather than some cheap headshot-from-across-the-map form.