I can honestly say that there is a game which totally changed the way I feel about gaming - Dark Souls. Before I played it, I would almost always pick medium difficulty, sometimes even easier... Dark Souls has really made me appreciate the challenge more. Of course this is dependant on the game though, there are some games that I really do not like hard difficulties on(I really don't think The Witcher 2 suits a hard difficulty tbh... And skyrim would be another imo ).
Atm I am playing through kingdoms of Amalur: Reckoning, and I started on normal but very quickly put it up to the hardest, as it was far too easy(and it's not like me to do that!)... And even on the hardest difficulty, it is still a bit on the easy side.
Really, it all depends on how well balanced the game is as to how it plays on harder difficulties imo.