Started off with Normal Classic and worked my way up and beat the game on Lunatic+, however I hate that mode. So much resetting, so much BS, so much anger and frustration...
After beating Lunatic+ I just stuck with Hard and Lunatic Classic, both modes give me a challenge in their own way. In Lunatic I usually stick to a few core units, while leveling my weaker units on the side. Hard Mode I level everyone up together, even though that takes longer, lol.