I tend to pick the highest difficulty levels for something like a story driven fps rpg or the like, as you only get one really great game out of it and i would rather find the later levels to challenging rather than too easy....

Before i played dues ex (WHAT A GAME!!!!) for the first time i heard someone say you should play on expert your first run through.... so i did, there where some testing times, hours after the last save the game lags a little and some guy shoots me in the head killing me instantly (various objects flung around the room) but all in all it made it a much more satisfying experience

Within regards to stratergy games i usually have a game or 2 on an easier difficulty level, it helps me figure out what buildings and units i need/are useful, i would say about an hour or 2 is spent on easy then i move up the difficulty levels, though im playing an EB campaign at Hard/Hard at the moment, because on very hard the computer is just over aggressive (i like a litte diplomacy) and for the battle mode i find it very annoying when i basically have the computer beat but through the morale advantadges on very hard i lose (still can happen on hard but the morale isn't so unrealistic...