I play on easy, usually. Now, I know what some of you are thinking:
And I want to say that I do not find difficulty very fun. If I can't achieve my goal with relative ease, I get frustrated. That's the opposite to the desired result, which would be relaxation and escapism. Unless easy mode is ridiculously easy, like in Kingdom Hearts 2, or it actually ends up being more difficult in some ways, like in Tales of Graces where you learn abilities far, FAR slower than in any other difficulty due to lack of combat bonuses, I play easy.
I'll also play on harder difficulties if there is easy mode mockery [http://tvtropes.org/pmwiki/pmwiki.php/Main/EasyModeMockery] in place. I hate easy mode mockery, though. It's mean and inconsiderate.