A bit of both. I don't want to be able to "break" the game on my first playthrough. I'm a big fan of difficulty modes, or difficulty that adjusts dynamically to the player's level. In a way, FF6's exp-saved-when-defeated accomplishes this. If you keep dying in a dungeon, you'll gradually grow stronger, and be able to defeat it eventually. The player often won't even be aware of the fact that the game's difficulty is easier relative to how it was when they entered the dungeon, and that's pretty good.

If a dynamic/automatic adjustment isn't easy to implement, or would be really weird for the type of game for some reason, the game should at the very least have user selectable difficulty modes at the start of the game, perhaps with a short description of what the player can expect from each level. It'd be fun if one of the hardest difficulties had a description like "you'll probably not even get past the first boss".

I am actually pretty annoyed at many SE RPGs because of their lack of difficulty levels.