I choose whatever I'm most comfortable with. In an RPG I usually choose Normal in the beginning just to test out how the game works and if I'll have fun with it or not. Then if the enemies seem a little too easy I crank up the difficulty a little. If I go through a 2nd playthrough with bonuses/cheat codes I raise it up to the highest difficulty and have as much fun as I can til I get bored of the game. I'm doing this right now with Tales of Graces.

For shooters Normal difficulty is my main choice, getting one shotted by enemies that take more than one shot to kill is totally unfair. It happens all the time on the hardest difficulty. I can make exceptions for games like Metal Gear and Deus Ex: HR since it's more aimed at assassinating than blindly shooting at everything...even though it's tempting. xD