I'm an obsessive freak so I start on the easiest setting play through, up it, play through... until I've played through on every difficulty. Well, for the past 2 years, I swore I wouldn't do that anymore, but what actually happens is that I play through on the hardest difficulty, unlock the "surprise" two difficulty levels, playing through for each, then I go to the easiest and play through the difficulty levels I skipped.