I like to play on Hard since I play a lot of games and thus have developed a knack for figuring out how to play each one well, as well as building up a library of useful tactics. Being around a corner from the big angry men with guns is one of the most universal... <.<
However, there are of course games that set the bar ludicrously high; usually they're made by Team Ninja for Team Ninja, and if anyone else manages to figure out how to play them for more than two minutes without dying at least once, that's a bonus. In these instances, I tend to go with the easiest difficulty I can find, since I play for fun and challenge, not to show off. I like to unlock and complete secret difficulty levels, but only if they're interesting (like Mental difficulty in Serious Sam TFE).