I started with UFO normal, but I dabbled in UFO lunatic probably from my first day. My thinking was that I was trying these games for the challenge in the first place, so why not skip straight to it? Not that I was exactly getting too far. I remember that it felt like an accomplishment to just make it to stage 2 lunatic. But a little later, when I got to stage 4 normal, I realized that normal was challenging enough to be fun after the first couple stages (considering I couldn't beat stage 4 at all for a while), and then I mostly stuck to normal, and tried the various other games.
Actually took me a while to beat my first game (partially because I unintentionally picked the hardest two games to play the most, first). Then I set it as a goal to 1cc everything on normal. And pretty much as soon as I did that, I started playing everything on hard. I've 1cc'd everything on hard, now, too, although I kind of alternate between playing hard and lunatic, now. I can still polish my performance on hard quite a bit.
I don't play normal much, anymore, unless I just want to see a 1cc ending with a shot type that I'm not good enough to 1cc hard with. I'm worried it will make me complacent. It's interesting, though, to have hard feel like normal did a couple months ago, now.