I start on the easiest, and generally will play through each of the other difficulty settings afterwords.
Exceptions being:
1. there is only 1 setting (duh!)
2. The higher difficulties are actually difficult so I get stuck (rather rare) and thus don't complete one of the settings.
3. For some reason on RE4:Wii I started on the "normal" setting.... I have no idea how as I would usually have clicked on "easy", so unless the easy option wasn't there at the beginning I have no idea what went on.