Yep, for my first character I did, as Skyrim was my first ES game. After getting the hang of it, I realized I butchered the skill tree and had no idea that there was light and heavy armor. I made a new character and upped the difficulty. Personally i find a little challenge fun, but I don't play on master.
I started out on Adept, and ran a few characters to get the hang of how the various combat styles play. Now, I play exclusively on Master, and Dead-is-Dead to boot. I do so to add risk, since knowing I could lose a character in any given fight makes him/her feel more 'real', which adds to my immersion.
I wonder why people look down on those who play on novice. Even if I play on expert for the most part I'm niot better than anyone for it. Too each their own I say.
Some folks just don't understand that not everyone wants controller-snapping levels of difficulty in every game, and are unable to comprehend having fun any other way. While I disagree with that point of view I can also understand it, since I used to be one of them; I grew up playing games that make the hardest modern ones look easy, so it took a while before I realized that difficulty isn't everything. As such, I would be willing to bet that a large percentage of those who think this way are still young and/or new to gaming, and have not yet come to appreciate that sometimes the game's story and/or environment can be the most important aspect(s).
I didn't appreciate it myself until I played more 'open' games, since they're more about exploring than trying to get past each successive challenge. I count myself fortunate that the first such games I played were the first two
Fallouts, as they had (to me, at least) the right mixture of difficult combat and good narrative, while still allowing the player to become really powerful by the end, which enabled me to start looking past the game's inherent difficulty to the other aspects of play. That started me on the road to my current point of view, wherein I consider the hardest difficulty to not be worth it in a lot of cases due to knowing how artificial it actually is.
Unfortunately, games like those don't really exist anymore, so current-day young gamers aren't getting such an opportunity so get stuck on the game's difficulty as their measuring stick. I hope that some day they do, but I'm not holding my breath given current design trends.