For the most part when I do playthroughs, ever since 1.4 came out, I either play Master Mode or Journey Mode set to Master difficulty.
With a lot of JRPGs I'll generally start on the game's hard mode if the game has difficulty settings but not on the difficulty above that. Some RPGs will have a "Nightmare Mode" that's above the Normal and Hard difficulty. It can take on other names in other games, but I see Classic Mode as effectively "Normal Mode" while Expert is "Hard Mode" with Master being "Nightmare Mode".
If its a type of game such as a fighting game or survival game that I don't play as much of, I might start those games at a lower difficulty.
In the case of Terraria though, to keep the enemies challenging I play it on Master Mode. I also enjoy the extra accessory slot and other goodies from bosses that come with it. If I do eventually play Terraria on the Switch at some point I might still stick to Expert mode on that since I'm not as proficient with the controller compared to KB & M controls when it comes to Terraria.
Otherwise yes. I enjoy challenge in games. Especially platformers & RPGs which are my main specialty. Master Mode keeps Terraria challenging to me which is why I like to have my new playthroughs at that difficulty level.