Unless there is a penalty for doing so (as in areas or items are locked off) I usually just go for easy or normal. I rarely play SP for the challenge, I play for story and immersion and I get no satisfaction from just having the game be more difficult, I play MP for a real challenge, not SP.
I have gone through Hitman 2 a couple of times as Silent Assassin, but that's more a style of play than a difficulty level. I like doing those kinds of things, but it's kind of different than just having stronger or more enemies.
KT