I started the game off on hard, which, in retrospect, is the same mistake I made during the first Bioshock. (which is a funny and weird meta-commentary on the game)
I had a really tough time with the turrets at the beginning of the game, of which there are a bajillion and they shoot you from such a distance that they are impossible to see. But, after that slowed down and I started getting enough money to get upgrades, I started making a go of it. I was enjoying myself right up until about halfway through the game where the narrative has tons of questions and no answers. Getting to those answers means slogging through fight,after fight, after fight, and death after death after death. The storyline pacing just couldn't support hard mode.
Still, I stuck with it until the fight with Lady Comstock in the graveyard. It took me about two hours to finally vanquish her. I thought to myself "GEEZ. Thank goodness I'll never have to do that again!" Except you do. Twice. About an hour into the second battle with her, I dropped the difficulty to easy and rode out the rest of the game. I just didn't have the patience for it anymore.
Anybody make it all the way to the end on hard?
I frequently felt like I just didn't have the tools necessary. None of the traps work because the badguys ALWAYS get the drop on you, no matter what, and badguys like the handyman shrug off all your tonics and can jump on you from anywhere in the map, instantly.