I generally start on easy, if it's bores me senseless (like Halo) I'll switch to Normal. I play on harder settings when finished to get my monies worth. The only time I don't do this is if the game is not fun because of its difficulty. I finished Halo 1&2 on Legendary but couldn't be bothered with the 3rd, it was just irritating.
I find them irritating if I think the game's 'cheating'. In Halo I'm a genetically enhanced super-human with solid armour and a rechargeable shield and enemy fire takes me out quicker than some dipshit marine with a papier mache flak jacket - it totally takes me out of the game. On the other hand CoD4 was great on the hardest setting, no matter how many times I died I felt I was 'almost there', the joy of doing that bloody plane level on the hardest setting is the source of my most cherished Xbox achievement!
I find them irritating if I think the game's 'cheating'. In Halo I'm a genetically enhanced super-human with solid armour and a rechargeable shield and enemy fire takes me out quicker than some dipshit marine with a papier mache flak jacket - it totally takes me out of the game. On the other hand CoD4 was great on the hardest setting, no matter how many times I died I felt I was 'almost there', the joy of doing that bloody plane level on the hardest setting is the source of my most cherished Xbox achievement!