I think it really depends on what you are planning to do in a game.
I usually play on Immortal now; it's a nice challenge but I can usually win.
I don't really feel like moving up to Deity though because I feel it would force me to be more rigid in my play-style, and I'd have less fun.
To the contrary, sometimes I have ideas for things I'd like to try out that will force me to pursue less than optimal strategies in order to try to simulate something historical or just try a strategy that seems like fun. In these cases I sometimes move down a level (to Emperor) to give myself a fighting chance and not feel too constrained...
I usually play on Immortal now; it's a nice challenge but I can usually win.
I don't really feel like moving up to Deity though because I feel it would force me to be more rigid in my play-style, and I'd have less fun.
To the contrary, sometimes I have ideas for things I'd like to try out that will force me to pursue less than optimal strategies in order to try to simulate something historical or just try a strategy that seems like fun. In these cases I sometimes move down a level (to Emperor) to give myself a fighting chance and not feel too constrained...