I always start on the hardest difficulty, recently played arkham cty and started off on the hardest mode. The games I haven't been able to beat are ones that are too boring and i'm too uninterested to wanna play it, I loved chrono trigger and beat that but I played final fantasy III and I was too bored to continue on with t. I couldn't beat cybernoid either maybe i'll try it again one day, and dragon's lair I couldn't beat due to awful controls.
God, Dragons Lair was awful. I remember playing it with friends and writing down the timings and which direction to go. There was no skill involved in the game, just basic timing and trial and error. The damn thing was on like 10 disks for the Amiga.