I always play on hardest first no matter the game because it's very rare for me to replay a game unless I think it's just phenomenal, so I just want the toughest challenge there is. It's usually hard and I keep dying, which it's supposed to be like in my opinion, and very rarely have I had to notch it down just because I couldn't get past a point. Something like Bayonetta games, Vanquish and Metal Gear Revengeance have been those, Platinum really ramps up the difficulty to ridiculous levels in all their games, it's absolutely impossible for me to beat them without first knowing the game and all the mechanics playing it on normal,.
Then there are some games I just couldn't imagine playing on other than hardest there is. I started Doom(4) recently and put on hardest(or second hardest, I think the last one is unlocked after you beat the game), and it's been so much fun, really tough and I'm dying a lot, but fun because that's what I feel like those types of fast paced games are about, not just blasting through with minimal effort but actually accomplishing something through difficulty. FPS games in general are the ones I enjoy most on hardest, something about them just feels right.