Which difficulty setting do you start on?

I start on the medium difficulty and finish with it.

Neither easiest nor hardest -- I usually start a first play of a game on the "standard" difficulty, whether they call it normal, medium, or whatever. With most developers, that's usually the baseline that the game was designed and balanced the best for first, and then they go back and try to tweak and adjust the lower and higher settings later. Sometimes they do it well, other times they don't, and it screws up the pacing and balance.

It varies by game type, though... I'm more likely on certain kinds of games to go with the first setting above normal, esp. action/adventures now. And I will definitely stop, restart a game and crank it up a notch if I can tell from the first couple of hours that a game is going to be too easy. If there isn't a decent enough challenge, I tend to get a little bored even on the first run of most kinds of games.

i playes MGS2 on easy the first time through because i am not too good at that type of game. when i got used to it i played it on normal and now im playing mgs3 on normal

I always start on the hardest available setting, cause i want to work through everything the game can throw at me.  It always makes me mad when a game locks out the hardest modes until you finish it on normal.  I only had to go back and reduce the difficulty on two of my games - Xwing Alliance, (where hard mode made your allies so fragile they seemed incapable of completing their objectives)  and Halo PC's legendary mode - (which remains surprisingly difficult)