I really don't get why so many folks feel they need to start on Hard when it's their first entry into the series. You're not going to get branded with a scarlet letter. Baby steps, man. Learn the mechanics, have fun, then try your hand at the harder difficulties. Folks are going to sour themselves on Fire Emblem if they insist on banging their heads on a brick wall.
That being said, I still recommend newcomers play in the Classic mode. It will encourage the type of tactics Fire Emblem was designed around.
Heh, I would argue against it and actually consider going for Hard/casual, Normal's just too easy, that you blatantly can ignore alot of the mechanics of the game for and just steam roll.
And in all honesty hard mode is still kinda easy compared to say some of the older fire emblems like Thracia 776, which didn't have variable difficulties.