Start with normal. I like to think this is how the makers of the game 'saw' it being played. Additionally, if the game isn't great, then you don't have the additional burdens intentionally placed on your gameply. If it's good, then you might look at a second playthrough on hard =)
Example: Uncharted 2. Played it on Normal, then went back and played it on every other difficulty (except INSANE) 'cause I loved it so much. The reason I didn't play it on insane is because I feel no compulsion to play on a difficulty that stresses me out. Some insane modes are a fun challenge (like DW5 Chaos mode). Some make me want to bite through my controller. I leave the latter ones alone...
That being said, I'll happily play a game on 'novice mode' or whatever the easiest is, if I just want to chill out and go zen with it.
EDITed for appalling typing...