I usually start at the lowest difficulty and work my way up. For example, in Project Gotham Racing, I will complete a race at the lowest setting first. Then, depending on how I performed that time, I will adjust the finishing requirement accordingly. The same goes for sports games. The first match I play will be at the easiest possible setting, and as I win, I will adjust the opponents strength to give me a challenge.
Then there are some games, like shooters, that I will not play at higher difficulty levels. I am not very proficient at shooters, and so I normally have trouble at the easiest difficulty levels. After finishing the training levels of Dirge of Cerberus, it suggested I try the higher difficulty. But that was only because I memorized the training level.
I just started a file of Kingdom Hearts today, and put the difficulty setting at Expert. I have already died twice. Either because the game is truly difficult at Expert, or because I haven't played in a while and need to refresh my memory on how to play.
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