I play in 2 groups. One group tends to be a bit looser on advancement and experience, and generaly gives it out more as a "I feel this is an appropriate award for XP due to chalenges overcome and RP", and another, more by the book advancement. The more casual group tends to flow a bit better, with levels granted at more appropriate times in the story, while the other campaign has given advancement a bit more of a mechanical feal to it.
It all depends on the group and the game. I find that as a player, I get more personal character attachment with advancing from a lower level, as well as it tends to allow for an opertunity to grow as a character (IE, expand class knowledge, change tactics, shape character pesonality). Starting a bit higher tends to allow you to assume a bit more about the character, and I find can lead to a bit more confusion about who the character is because the story is shaped a bit more by ideal circumstances than roleplay and character experiences.
Generaly though, I try to start at 2nd level to allow a character to multi-class early and be a bit more survivable (Max HP for both levels).
On the other hand, if I were to do a modern game, I'd probably start around 5th level, allowing people to start in or get close to the advanced classes.