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On a first playthrough, typically I'd go with the hardest difficulty for games that have 3 settings. Or the 2nd highest if it has 5 or more. I just no longer enjoy easy game much, they eliminate "thinking/assessing/reacting/executing" which are the funnest part of gaming to me. There gotta be a challenging aspect to games, be it in the moment to moment action, in the form of puzzle solving, strategizing, or anything! Otherwise I prefer movies, cartoons, comics, TV shows over gaming.
But there isn't a universal rule that applies to everything. Some difficult games feel cheap, poorly-balanced, or just not fun or rewarding. Apart from some SHUMPS for example (which can be beaten in just 30 to 45 minutes), I generally don't like the "instant death" thing. And some easy games can be made fun via chasing highscores or self-imposed restrictions/handicaps. Easy games can still be enjoyed through story, music, visuals, charm, humor and so on, but most of them would benefit from higher difficulty settings that require some skill to unfold.
I've just tried returning to Where Winds Meet after a 6 months+ long pause, and now it's kind of overwhelming and too difficult for me (playing on the hardest setting). But I don't want to lower the difficulty, because then the game wouldn't let me turn it back up! It's a dilemma.
