I've always felt that harder difficulties lead to more stressful/intense battles, but also leave you with an incredible sense of accomplishment when you finally finish them. As a kid, I remember playing Super Smash Bros. Melee on very easy every time I went through classic or adventure mode, and I was content doing this because it was basically a guarantee that i'd play through undefeated.
The same logic applies to Kingdom Hearts; I always used to play the game on normal mode until one day when I challenged myself to try expert. When I imported the final mix version of the game, I remember doing a proud play-through and struggling against the cave of wonders and Ansem/Riku boss battles, but feeling so awesome when I developed a winning strategy for each boss.
When you finish the proud run I suggest you move on to a level 1 run. Now THAT is an awesome run to conquer :biggrin: