The challenge drastically lowers on a lot of games I play through once, but I usually find it in myself to replay them. Sometimes, it's fun to tread familiar ground and stomp everything flat based on how my skills have grown.
Like playing Devil May Cry 3 on normal difficulty and wasting everything in my path (has to be normal; easy enemies don't have enough health to last through the more fun combos). As well, if there are things I just want to try in the game, I'll sometimes lower enemy difficulty to pull them off. The Kick Me Challenge in God Hand is like this...I can't even imagine doing that on Normal or Hard.
If you're talking just straight playing and not replaying, though, the answer is easier: yes. I admit, there've only been a few parts of recent Zelda games that were genuinely difficult, but the rest of the game is still a blast (I'm thinking especially Wind Waker's overworld).