Hehe... Well, if the game allows the user to select the difficulty, I almost always go for the Easiest mode first. Why? Replay value. By doing it this way, I won't know what to expect from the more difficulty levels. For example, I didn't realize that Joe starts out with fewer life than in Kids mode, and that the VFX drains a lot faster.
Another example would be like playing Resident Evil or Silent Hill. In REMake, there are more zombies, and dead, unburned zombies turn into Crimson Heads faster. In Silent Hill, the puzzles are less challenging on the easier level.
Does what I said make any sense?