It depends, mostly I play on the hardest difficulty, but if it's a genre I'm very unfamiliar with (strategy games) I usually work my way up. Actually, it's really only strat games that I keep the difficulty at normal, for everything else, I learn fastest on the harder difficulties. 

Medium

Depends on the type of game. If I know I'll like the game (i.e. Halo) I play the game on a Hard mode to start, and if I love it, again of it's very hard (i.e. Legendary) setting. If I hear the game is just ok with an amazing storyline (i.e Bioshock) I blitz it on the easiest setting. If it's a game is RTS, I'll play on Hard or Very Hard.

I always play at the highest difficulty available(witch is normally not the highest setting in the game, since you often have to unock that). I just hate it when i'm a few hours into the game and it doesn't pose a challenge.

Very hard.

I don't usually replay games, but I like to explore 100% of levels, get all secrets, kill or stun all foes, etc, max difficulty helps me make the game last more and get the most fun and satisfaction from it.

I usually play on normal/medium difficulty, unless I'm playing a type of game I haven't played before. When I first got the conduit I was playing on Easy to get used to the controls without being overwhelmed.

I usually start on the Hard difficulty, except for Bullet Hell games, which I always start on the hardest difficulty

Most games I play on Hard the first time through. If I like the SP enough I'll go through them again on harder difficulties. The big exception to this rule is the Ninja Gaiden series. In that case I play on Normal, beat it, start on hard, get stuck for a couple of months and then start a new game on hard. 

I usually play on normal

The hardest setting that is available from the beginning.