I hear a lot of people saying 'Hardest' difficulty, but what happens when you're 20 hours in and stuck (assuming it's one of the games that you can't change the difficulty mid-game). There's been too many games that have done that to me.

easy i like to get used to the controls making me better at the game ( FPS ) then i go in order intermediate hard then ExTrEmE

Normal first, then hard, then extreme until I realize I'm not going to beat the game on that difficulty.

Whatever the default is, pretty much. "Easy" modes tend to be laughable but then again, so do most "Normal" modes. Unfortunately, developers have a nasty habit of either ratcheting up the difficulty only a minimal amount or slapping you with some absurd handicaps that just make the game frustrating, rather than "hard". RTS titles are especially bad about difficulty levels, with anything above "normal" usually meaning "its the same AI, its just cheating like hell now."

Almost always normal - then hard.

I play on normal/intermediate my first playthrough. It allows me to get a feel for the controls whilst still experiencing the excitement the game has to offer.

I usually stick it on Medium.
Unless it's something in a series where I know I'll do better on Easy or Hard.

I play it on beginner, but only so I can immediately jump to the hardest difficulty afterwards. I'm weird.

Usually the hardest I can select, then if I get stuck I go back a notch. Playing games on easy is a waste of time. But I have no doubt there are countless people out there who have played through on easy and then complained about a game being boring and simple as they pwned it in 8 hours and took it back to the retailer and complained because the game was shit and boring

Depends if I am any good at that genre.

on every 2k hockey game i always put the difficulty on the hardest on and never change it

Normal first. If the game I'm playing is a sequel to a game Ive already finished, I often pump it up to hard.

Hard, if anything than to boost my ego and make me think I'm more manly than I really am.

Then depending on the game I get my ass kicked and feel like an idiot.

Medium [as its usually known!] Or intermediate.

Cause easy is always too easy till the end boss... you know the one.. DOOM!

Depending upon the game I may choose something else, but normally medium on shooters and RPGs and easy on RTS's. But again, this does depend upon the game once again.
If I had started Half-Life on even medium I think I may have been causing 'ol Gordon to be gibbed millions of times more than I was on my first playthrough and the same for the first Star Wars: Battlefront, but in the second of both games I was able to play on medium or hard after a few minutes of getting used to the controls (which hadn't significantly changed mind you).