
Varies.
I definitely started out easy as a kid, then worked up from there if it wasn't challenging enough; now I usually start normal, and get a feel for it there, then complete hard mode if I like the game enough.
Depending on the game though, some are boring outside hard mode, too frustrating outside easy mode, etc., it's a case-by-case basis thing. Games like Elite Beat Agents that are just addicting, I'll beat on the highest difficulty, others like Metal Gear Solid, I won't even touch the highest difficulty.