While I normally select Normal at first, it really depends on if it's a new genre or series for me. Fire Emblem Awakening was my second attempt at the series so I went with Normal, while Wind Waker HD I went straight for Hero Mode.
Not enough options /10
Depending on the game, I usually start one step above normal, and then subsequent playthroughs are played easier for a more narrative experience (replaying the frustration kills me).
I think Mass Effect is my only exception where I'll go back for more pain.
It really depends on the genre or series. RPG's or strategy games I'll often jump into on Hard to see how I fare (as often as not it stays there), but overall I'm just as likely to click the default Normal difficulty on a game without even really thinking about it. Mario Kart I start off on 50cc cups and work my way up accordingly (it's less fun to go back to lower difficulties in MK, so I find it best to start with it). I'm really all over the place.
If I can tell the game is going to be easy, I crank the difficulty up.
If I can tell the game is going to be hard, I leave it on the default difficulty.
If I can tell the game has nothing to do with gameplay and it's just basically a story game or cinematic game, I turn it down to easy so I can just get through the story.