Depends on the game but generally speaking: Play the game on normal first time, then for the kicks of it go back and play it on the hardest possible setting. If I enjoy it enough then go back and do any super hard settings such as when I did European Extreme for Metal Gear Solid 2 or my Mass Effect files (which I need to finish!) Some games however I go in on the hardest setting and keep at it. I very nearly did so with Halo Reach and in hindsight wish I had done because I think that there was something about fighting so very hard on legendary that made the story better. Bungie always say Halo is designed to be played at the Heroic level of difficulty but I disagree and say that in the case of Reach, legendary was the intended difficulty so that when you get through it you're satisfied it makes the fight feel more real, more painful when you lose.