I find myself playing on Hard or Hardest more now than I used to. I would always do normal, but now with Gears of War 2, ODST, and other games I played the prequels to, I just can't help going for that extra challenge.
I don't do it for the achievements, really. Those are nice, no doubt. But ever since I experienced the sheer thrill of surpassing seemingly impossible challenges (thank you, Ninja Gaiden) I seek it when I can. Some games just aren't fun enough to warrant the extra trial and error, but you can bet I'm gonna play something like Shadow Complex on a challenging difficulty.