I usually start on the one under the top (unless, of cause, there's only two). Once I finish a game once, I'm not normally as eager to play it again, so I don't want to be able to rush through it without any challenge. But then, if I enjoy it and DO want to play it again, it's nice to have someplace to go.
Oh, but pretty much agree with xI Kinshasa Ix. If I expect to play a horror game from beginning to end, I'd consider going hardest to get the most immersive experience out of the combat (all the better if it has different settings for combat and challenges, ie Silent Hill 3).