Easy to start with, so I get to know the levels and all the little tips and tricks.
And because I'm, in want of a better phrase, a pussy.
I usually roll with normal once I know what I'm doing. I leave hard for when I really have absolutely nothing else to do. Seriously, I put trimming my nails ahead of trying games on hard.
I hate losing...
EDIT:
Scratch that, I will try games on harder difficulties if I really enjoyed them playing through on my wuss difficulties. Wet, being a prime example of a game that maintained its level of enjoyment whilst not putting it so far up that you're waiting to respawn more than you're actually playing.
On the subject of waiting to respawn, Uncharted's Crushing mode can kiss my ass.