Provided the game offers multiple difficulties from the get go, which one do you start with?
Up until the PS2 & GameCube era of games, I used to start with the easy difficulty and work my way up during multiple playthroughs.
But as my gaming skills started to improve and, eventually, having less time to replay the same games I started with the standard/normal difficulties.
I dont ever pick the hardest difficulty from the get go. I like to familiarize myself with the games but also dont want to get frustrated and actually want to enjoy the game (and story if it offers one).