Depends. If I'm familiar with a developers work and know they handle difficulty increases well, go for the max available at start. Platinum Stuff, DMCs, Team Ninja games, Kojima games, RE games, DOOM, SoR, etc. All have earned my trust. In some cases, it's like you're playing a different (and significantly better) game.
Otherwise start on normal, see how that goes, dial up if it's a pushover. Unfortunately a lot of devs design for normal and treat higher difficulties as an afterthought. Adjust some values with little regard to the play experience, and done. Rather than an interesting and rewarding challenge, just get an annoying version of whatever you're playing.
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