In all seriousness, it depends on the game in question, or at least the genre. If it's an FPS I'm liable to put it on hard right away, I'm fairly good at them and anything less tends to not be challenging. I'll put a JRPG on hard, if it has difficulty levels at all, just to try and provide some reason for the gameplay mechanics rather than reading a book. Aside from a couple of accidentally too-tough bosses which you get in most games, JRPGs are usually very easy. WRPGs are often a lot less so, and I'll usually go through on normal at first (With Mass Effect I went through on Hard, but Hard is the third of five difficulties I have also played most of the way through starting with a level 1 character on Insane, but that's hardly something I would do the first time I played the game )

Fighting games I tend to keep on normal or put on easy; in no other genre is there a greater disconnect between difficulty and fairness.