For me it depends on the game - for instance, although I can easliy beat any Tony Hawk's game (UG took me and my housemate about 8 hours or so over a couple of days), the joy of playing it means that the fact the tasks are easy is irrelevant!
On the other hand, I found Deus Ex a little too easy until my framerate dropped like a stone in France and Honk Kong - but again - wasn't too bothered by it, because it was such fun...
...then there are games like Commandos: Behind Enemy Lines - couldn't get past the the first couple of levels, and was so frustrated it went straight to a second hand shop! (compared to CivII which I love and still play all the time!)
Games with unlimted saves are great as far as I'm concerned, because a gamer can do what they like - if they want the challenge, you can for instance say to yourself "I'm not going to save until I've played for half an hour" - the other side of the coin being more like "This is painfully hard, but I can do it if I save every 30 seconds" - Everyone's a winner!
Whoa, tha was long. oops!
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If at first you don't succeed, lower your standards.