What difficulty do you set your games to for your first run?

Other than the old-school Resident Evil games (which could be damn difficult even on Normal), I don't think I've ever played a game below Normal.

With the advent of trophies back in 2008(?), I started playing games on higher difficulties in order to get all of the trophies. I eventually found that Hard mode really wasn't all that hard on FPS's and the like (I still leave RPG's on Normal just so I can take my time). It's gotten to the point where, trophies or not, I play new games on at least Hard mode or its equivalent (I AM DEATH INCARNATE for Wolfenstein) just because Normal doesn't give me a challenge.

So what about you guys? Do you play games on harder difficulties to give yourself a challenge, or on lower difficulties so you can just enjoy the story/gameplay/etc.?