Is there one "canonical" difficulty level, like with Doom's UV? I don't want to play on an intentionally unfair difficulty level, but I do want some challenge.

In Crusader: No Remorse, I consider the first two difficulties to be too easy, so I prefer Loose Cannon.
No Remorse difficulty gets a bit too frustrating for me.

No Regret is such a troll game, where higher difficulties add more and more traps and stuff, often out of sight of the player. I'd definitely not go beyond Weekend Warrior in that one, so to save yourself a lot of frustration.

That said, that's just my 2 cents.