I play games on the hardest difficulty available. I do this for two reasons. Firstly, as an achievement hunter, i do it for the "you beat the game on balls of steel difficulty!" achievements, but i'm also one of those people who actually like a challenge. It's probably connected to why i enjoy achievements. I can't stand games with simple, easy achievements. I go for the real toughies. I'm sadistic enough to get the achievement for completing all the challenges on Vanquish, for crying out loud!
It might also be that as i've been playing games for many years now, i'm actually very good at what i do, so games have a tendency to lack the challenge i lust for. Hard difficulty solves that most of the time and i get my fix.
I only select 'Easy' if i'm mopping up achievements after beating the game. I never select 'Easy' first, as i feel the story and unravelling of the plot is part of the reward for struggling through on Hard. For example, i played through Dead Space 2 on Zealot, then after i selected New Game + to mop up weapon related achievements on Casual, even though it would have made more sense for an achievement hunter to do it the other way around. Maybe i'm just weird like that.
Some people prefer to play the game on Easy because they either only care for the story, or want the game to be relaxing rather than tear their hair out on harder difficulties. Though we may find unchallenging enemies to cheapen the game, some people like the fact they have a significant advantage over their enemies without having to worry about getting past a certain point.