i always chose the hardest difficulty the game offers. My reasoning is the following.
I can only see the true potential of the game at its hardest difficulty. I don't want to beat the game in just a few hours, breezing through it at easy mode. I want the game to earn the progression and the story telling. It doesn't matter if it takes 3 month to finish a games, because i don't have the time to play often, when i do find the time to play, i want a true gaming experience, with a game requiring the best of me.
An example. I recently finished dead space, the first one. Obviously, i did chose the hardest difficulty the game offer on first playthrough. And i did not regret it. I was really a survival horror. Enemy took quite a beating to die, and i could die in 3 hit, so each encounter was truly frightening, i could die just right there. My ammo and med pack count always low, because i use so many to progress, and i was always scared tu run out of ammo. I tried to dabble in easy mode after i finish the game, enemy were so weak, they were never frightening, the game lost its very essence, the feeling you could die at any time, felt like a generic shooter, no emotion.
So yes, i like danger and i like difficulty.