I always like to play on the highest difficulty, unless it becomes not fun. Everybody has their own preferences, and while I enjoy a good challenge, others may want to focus more on the story instead, with a challenge as low as possible
The point of a game is to be fun, or at the very least entertaining. Sometimes you just want to experience the plot without much interruption, or more casual gameplay, especially if it's your first time with a certain control system or genre. Case in point: I recommended White 2 to my partner for her first Pokémon game because of the ability to lower the difficulty so she could enjoy the story while learning type matchups and mechanics instead of getting stuck on the second gym.