MichaelH on 23 November 2014
Play at whatever level feels right for you and have fun.
Having said that, a game like, for instance, The Last of Us is much more rewarding on harder levels...the AI is more challenging, there are far fewer items to find for making weapons etc, ammunition is in much shorter supply, you get different and tougher enemies in many locations and enemies are harder to sneak past or kill. The same is true of many games. For me, it just feels better to have beaten a game on the harder settings.
