I just got the game, gonna play it for the first time in a couple of hours and I wanted you guys to reccomend me which difficulty should I play.
 
I generally like hard games, but this -for some reason- scares me.
 
How hard is the game? I can also see myself playing on normal and later on hard, but if it's easy I would rather skip normal.

try normal, it's hard enough 
 
i also still need to finish the game, for some reason i always feel exhausted after playing it 

Wait! Go for the hardest setting available! 
Seriously. After the game kicks your ass for a while, everything just clicks into place.  
 
When it does, It feels so good.

Play on Normal. You'll probably get too frustrated with the harder settings. 
Friendly AI can never be counted on and is often just flat out dumb, enemy AI sometimes tends to focus on you and only you (and often in the worst possible situations, such as during boss fights), and there are a lot of enemies that can kill you with one hit (that usually ignores collisions with covers). 
 
It's a good game, but not one I see myself playing on the harder difficulties.

I would have recommend playing the game on hard. To make it more intense and funner.

Normal is challenging enough for a first play through.

Hard. It's what I played on the first time, and the level of challenge was just right.

Man, recommendations so far:
 
Normal
Hard
Normal
Hard
Normal
Hard
 
That's what I call an even split! I started on normal, games is kind of easy but then again there were spots I died 3-6 times, Vanquish is very non-traditional shooter and it seems it takes a while for me to adapt to the insane tempo. But I love it, spent about an hour in the first challenge and didn't beat it, but it feels very technical, every death is my misstake so I am eager to move on.
 
Thanks everyone for help.