If there is a setting labeled "Normal" I choose that; I consider what is "normal" as to being what the developer wants as a standard.
If its labeled "Medium" then I, out of pure neuroticism, will think that's not what the designer though as standard and pick a harder difficulty.
Labels like" Insane" and "Nightmare", anything presented as being the hardest without being the only setting above "Medium", I don't go for on the first run, but always try to make it that for my second run after learning the system on the first playthrough.