It completely depends on the game for me. I generally play it on Normal, under the presumption that setting is what the developers intended, and they actively tweeked the other difficulties, so they may end up being too extreme in one direction or the other, and I don't want to ruin an experience by being too easy or too hard. But there are games that are known for being hard that I may play on easy, because even then, its not really a cake walk

Persona 4, my first playthrough (which I had to end prematurely due to a dead PS2) I started on easy, because Megami Tensei games are known for being difficult. Now that I'm playing Golden, and I've played a few other Megami Tensei games, I am playing on Normal. Though I don't see a whole lot of difference. I feel like I got more gold before. And there were a bunch of items for instant revival in a battle you lost at. But that's about it. The game itself doesn't seem harder. Its just progression is a fraction slower

Then there are the games that are just too damn easy. Dynasty Warriors was mentioned, and its a good example. Those games are a cake walk so I always play them on harder difficulty when I play them