Hardest difficulty available. That way, later on if I'm having a difficult time, I don't have to tell myself, "hey could be worse, you could be playing on a harder difficulty".
Started doing this on Kingdom Hearts "Proud Mode" since lots of games back then didn't have a "New Game +" mode. Never regretted the decision when I got the secret cutscene after beating Sephiroth.
Games with the "Hardest" difficulty I've played with recently and actually had a difficult time are Resident Evil 6, because the controls and aiming system are shit, and the game itself was just horribly bad; and Max Payne 3, game is terribly UNFORGIVING, literally no heals most of the game, and you will probably die within 3-4 shots.