I play on Nightmare. I have yet to continue playing the game, but so far it's quite difficult, although it's probably not due to the difficulty level, more so for the bullet sponge enemies. As for your question, give us a little background. Are you an avid FPS player? What system are you using?
I use both systems, I've played tons of FPS and TPS games. I've played every Call of Duty, Halo, most Quakes, Counter-Strike Source for PC, Battlefield 2 for PC, and the list goes on with just FPS... but I don't want to get frustrated on the game my first run through, is my main point. I'm leaning towards Hard, but not sure... Don't want to restart on Normal later.