Most of the games I have played in have started at 1st.
There was one that started at 7th or 8th. We had an immediate problem in that game where we didn't know eachothers abilities - we really didn't know our own abilities so it got off to a very rough start.
I would prefer about 3rd level. You aren't as weak as first level. Even a wizard has a chance to survive a lucky critical (may be unconcious - but chances of not dying are higher) but you don't have the abilities of 8th level so you don't have the problem of no one really knowing their character's abilities in the tougher level fights.
There was one that started at 7th or 8th. We had an immediate problem in that game where we didn't know eachothers abilities - we really didn't know our own abilities so it got off to a very rough start.
I would prefer about 3rd level. You aren't as weak as first level. Even a wizard has a chance to survive a lucky critical (may be unconcious - but chances of not dying are higher) but you don't have the abilities of 8th level so you don't have the problem of no one really knowing their character's abilities in the tougher level fights.