If there are three levels, I start on hard. If more than three, I start on the next down from the hardest. I like a bit of a challenge. But if I'm dying a lot, I'll quickly drop down as far as needed to not often replay sections. Unless they are really fun sections - some few battles are worth replaying over and over again, but most I find monotonous. Also, if the game uses save points rather than player-directed saves I'll more quickly drop down. And if the game does not allow changing difficulty on the fly I'll sometimes start on normal. The object is to have fun, and my wife will not be impressed that I beat a game on the hardest difficulty.