Generally speaking I find it depends how the increased difficulty is balanced in games. In some, the enemy may not be any harder to kill than before when playing on an easier skill level, but instead there might be more of them. Quake springs to mind there, and I prefer that method rather than needing several shots more to take the same enemy down. When that happens I usually, not always, but usually turn the game difficulty down a notch. I like a balance between challenging with some feel of realism, even if it's only a little. It does depend on the game though, with some it bothers me less, though those are in a minority.