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The beginning really can be tough. Normal is the way it's supposed to be played and feels best for a first pt.
Normal is the best difficulty if you are beginner, there are many reasons for this, but one of it is in order to obtain 'full experience', if you want full experience you should do what Migel said, start your first play through on Normal mode, finish story, then start NG+ on Hard mode, finish story and then start NG+ on Nightmare mode. This'll allow you to get the best possible experience.
You want to take it slow, finish side quests, activities and prepare your character.
And you can buy ammo on Nightmare. Its only Hard that has no ammo on sale and the annoying flashlight constantly turning off.
Hard then changes this, medkits heal over time, more damage from zombies, most materials are gone from normal merchants.
Nightmare then goes: Hard wasn't enough for you? All of the above, then all infinite stamina perks are apparently disabled as well as cutting down on stamina.
One other thing, if you start the game on hard, you can always change it to Normal/Nightmare during the game, depending on how things are going.