I don't use any of them except hardcore, which I use exclusively.
I have tried a couple of them when we were doing the weekly hardcore challenges, but can't say that I particularly enjoyed any of them that much. In fact all the options are pretty much set at default for nearly all my games, except for the starting monster level which I set to around the "easy" marker on the scaler. It means that I level more slowly, but survivabillity is better and this suits my more conservative game style. I also tend to use non "power builds" and try out lots of different (sometimes totally ineffective) skill combos. I also roleplay my characters quite often which can be a challenge game in itself.