I've come to realize something that probably should have been more obvious to me. Whether or not I enjoy difficulty in a game depends almost entirely upon how much I enjoy what is being made difficult. For example: I often have little interest in a real challenge in City of Heroes, because my primary interest in the game is the story and character creation.
When attempting to follow a story arc, I generally find any difficulty to be a hindrance to my enjoyment of it. The (almost) only time I enjoy difficulty in CoH, is when I'm on a team. Even then, whether or not I enjoy difficulty depends almost entirely upon what type of character I'm playing.
If I'm playing a tank, I favor having little to no difficulty. My primary focus is typically upon keeping the fights coming quick, and gathering large numbers of enemies into a single place (herding). Often, the part I most enjoy about tanking, is having a large number of enemies trying and failing to take me down. Any difficulty then diminishes that joy.
If I'm playing a damage dealer, I don't mind having enemies prove hard to kill. In fact, having them go down too fast can make it boring. However, if I find myself in danger of dying all the time, it's not going to be fun.
If I'm playing a character who provides the team with buffs, having teammates or myself take large amounts of damage diminishes how much I feel I am helping, which makes things less fun. Often, I find that when I play a support character, I want things to be easy but not so easy that I feel useless.
If I'm playing a healer, I tend to like having the difficulty level vary. Times of difficulty engage me in my healing efforts, and make me feel needed, while the easier times allow me to rest, relax, and recover for the next time I'm really needed.
In another game, God Hand, I found the difficulty helped improve my fun. For me, the main joy of the game, was setting up different selections of moves on the combo button, to find the perfect combo that could let me win fights with little more than one button. The difficulty of the fights, combined with the complexities of how the various moves worked with each other, made the task an interesting challenge.
When playing Skies of Arcadia, I found some areas of difficulty to be enjoyable, while others were annoying. The basic combat was of limited interest to me, and while some fights offered interesting challenges, it really wasn't something that improved the game for me. The challenges I did enjoy though, were the ship to ship fights. I really enjoyed the ship vs ship combat system, and found many of the challenges to be quite interesting. It was a bit of a disappointment that soon after finally gaining the ability to use whatever weapons and accessories for the ship I wanted, the challenge level of those fights went way down. Once a full heal spell was acquired, it became laughable.
In Hellgate: London, one of my big complaints, is with some of the missions that get difficult in a very annoying way. They add in some extra mini-game style challenges that become extremely frustrating when they don't go well. If the difficulty were low enough on them, it might not be an issue, but several times I've had them prove to be a very unpleasant challenge. Overall, I find my enjoyment in Hellgate: London does not come from the challenges the game presents, but instead from the randomness, special effects, and the carnage. I also had some interest in the main story, though that only lasted until I beat the game. As a result, difficulty was generally an annoyance, not a pleasure.
I suppose the general system I like most, is when the story can be gotten with little or no difficulty, but difficult challenges are available for those who want them. I do believe it is important for almost any game to include an easy mode for people who just don't have much interest in the challenges. MMO's should not be excluded from the easy mode rule in my opinion (you just won't get much bragging rights for winning on easy).
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