If I realize there is a hard-normal-easy option I almost always go hard first... unless it is a first person shooter... or maybe fighting game... or a new genre I am not used to... those games genres aren't my forte... I am much better in strategy/RPG type games, and those I always challenge hardest first.

Now in the event that I get stuck or can't find out how to even play, then I may switch back to normal.

However in most situations I just end up not even realizing that there is even a hard-normal-easy option... I don't really pay much attention.