That's why many games don't bother with the choice at all. Everybody gets the same difficulty, and hence the same experience. R-right?
Maybe not. If a game doesn't let you choose the difficulty, it might mean the game is making itself secretly easier every time you suck at it. This is what's known as "dynamic difficulty." Resident Evil 4, for example, starts to get very generous if you're a clumsy gunfighter.
If too many cultists hack you up, some of them think "This neighborhood is getting crazy" and move away. And they leave all their ammo lying behind so you can find more of it. The developers never even told people they were doing this, and it was only discovered when players started comparing notes. Here's how the game looks when you're a good player, versus when you only think you're a good player:
Crash Bandicoot is another game that subtly helps bad players. When it senses that you suck, you start finding more checkpoints and get suspiciously lucky with the extra lives. The developers said they did this so they wouldn't have to dumb the game down, and presumably so players of all abilities could experience the riveting story of whatever a bandicoot is jumping on some dangerously stacked crates for. Here's what their "dynamic difficulty adjustment" looks like: