I think my best answer would be that difficulty is fun for me. I am a competitive, intrinsically motivated person. The enjoyment I get from a game comes from mastering the game's mechanics and overcoming the obstacles the developers have placed. I get a sense of enjoyment from mastering the skill needed to be good at a game, and applying it to master the game itself. Because of this multiplayer, RPGs, and strategy games are my favorites.
Multiplayer games satiate my competitive itch, and provides a skill level that I can always strive for. RPGs have multiple systems in place that need to be learned if you hope to beat the game, and strategy games have some of the same challenges to it as well. Don't get me wrong -- I enjoy relaxed, easy-going games from time to time, but I prefer a game that will test my skill and give me a challenge.