Depends on the game.
Some games are inherently difficult and don't need any options to raise or lower difficulty (Dark Souls). So you have no choice but to tough it out. I actually really like games that make you learn the system and prove yourself worthy, and it helps that you literally are a Knight.
Some games are like playable movies and give you a wide range of difficulty options like TLOU Part 2. Story mode, Easy, Normal, Hard, Survivor, Grounded. I usually choose "hard" in these cases because it's probably the most balanced in terms of actually being difficult and getting your money's worth, but not so much that you're frustrated and want to break something because you're stuck on a level.
I'd say games that usually frustrate me are first person shooters like DOOM. I usually choose normal mode and sometimes even lower to easy if I'm getting absolutely crushed by the enemies and AI. That being said a lot PS3 games don't let you change the difficulty mid game (God of war) so you have to be a maniac to choose hard your first play through lol.