1st level--I think that there's a tendency to miss out on character development by jumping in as established adventurers (ie, higher than 1st level). I like seeing the characters develop through the events that I throw at them, and it seems like the events I throw in at lower levels make deeper marks on the character than at higher. (In my game, we started at 1st level. Characters are now 2nd and 3rd, with one PC edging closer to 4th. The ones who are still 2nd are on the high side of halfway to 3rd.