You miss nothing. Start out on Easy. What's cool is that in between puzzle stages, when you're back in the bar, you can adjust the difficulty level as you please. So if you're going along and the game feels too simple, you can bump it up to Normal or Hard, and then if it gets too tough, you can bump it back down to Easy, all mid-game. What's also cool is that if Easy is still too difficult (and take it from me, a hardened gamer -- it's STILL plenty challenging), you can hold Select on the title screen (I believe it's the title screen... or maybe it's the screen where you chose Golden Playhouse), and if you hold Select until you hear a chime, Very Easy mode will unlock. This gives you a special item in the nightmares that allows you to climb three blocks at a time.
Whatever difficulty you play, you'll still have a ton of fun. The puzzles have this addictive quality to them; forming the perfect pathway and hopping along as blocks fall away beneath you is always thrilling. It's a wonderful sense of progression and accomplishment, no matter the difficulty level. You're golden no matter what.