Personally, I think most games should have a set level of difficulty. Once you beat that, it can unlock the... "So, you think that you're pretty good, right? Try this then." I certainly don't mind a "normal" difficulty and then an Insane level. I look forward to trying out the Fall Out New Vegas "Hardcore" where you have to account for regular drinking of water, eating, sleeping. It'll probably get old after a while, but it'll be interesting.

There are a couple game types that I don't mind a difficulty slider. Racing/Simulation games like Gran Tourismo and sports games. For the former, the technical level of skill needed to play, even at normal sometimes, is ridiculous. It is nice to be able to set a level and have fun. For sports games, the higher the level of difficulty the more ridiculous the things the AI competitor is able to do (things that seem to ignore the physics of the game and the rules that apply to the players controlled elements).

I don't play either of those game types much, so it's nice to set an easier difficulty and build up proficiency. In these games it's usually possible to adjust the difficulty on a per game/race/event basis.