I think there's a similar topic buried somewhere around here...
Nonetheless, the first time I usually play on normal, and after that, if I liked the game and crave a challenge, I'll mess around with other difficulties; this is usually true for games like Devil May Cry and God of War. There are some games that I’ll play on the hardest difficulty from the get-go, though, like Kingdom Hearts, for example. I would definitely love it if Pokémon had a difficulty setting, like a built-in Nuzlocke for example—I'd play the ever-living snot out of it.