I usually go on Normal for story experiences, then go on hardest if the game warrents a second playthrough. I don't want excessive difficulty taking me out of the experience.
Example I played Witcher 2 on Nightmare first go, beat it but it was frustrating trying to learn mechanics out of the gate like that.
Alternatively, if a game is designed around hard gameplay, I have no problem doing it. Love Souls and Bloodborne for example. I capped my character at 130 and managed to make it through NG+6 on Bloodborne for example. When people tried to join me, I would invite them to voice chat and they would be like WTF when I told them lol. Then I would just laugh at people who wouldn't accept the invite, because they would always charge the boss and get one shoted. XD