I'd say for me it just depends on the game.
When a new Call of Duty comes out my first task is to beat the campaign on veteran. I've beat all of them that I've started on veteran with the exception of World at War because my game saved just before I got blown up so when it restarts, I just get blown up again. I've tried, more times than I can count (or care to admit), to get away from that explosion but it's just impossible. So, out of frustration and the fact that I didn't want to restart the entire level, I just quit (sad, I know).
When I play Farming Sim, on the other hand, I almost always have it set to easy. I just want to make bank and build the biggest farm I can in the shortest amount of time. I haven't played in several days now, though, because right now I play on Xbox One and I'm about to build a new PC. Since I can't transfer my farm from one to the other, I've decided to stop playing on Xbox and just wait until my PC is complete to start again.