I play a lot of FPS's...

Because I rarely replay them (at least not for a significant period of time) I like to go in at Hard to start with to make it last longer...

I avoid the Impossible, Nutcase difficulty levels usually... I want a challenge, but I don't want to be fustrated...

Sometimes (in newer CoD games for one example) playing on the highest difficulty level can alter the dynamic of the game in a good way. No longer and you run and gun the whole game, you must pay some respect to the enemy, fight from cover and think about what you are doing...