My standard operating procedure is the same as Elf Witch's...more or less.
If the party is low level, say, most of the party is up to 3rd level. Then yeah, I have them come in at 1st.
But anything higher than that, I have them start at the bottom of whatever level the lowest level party member is. So, if the party spread is something like 1 7th, 2 6th and a 5th...the new PC comes in at the starting XP for 5th. Will they be as useful/powerful as the other PCs? No, they won't. But they won't be (and hopefully don't feel) useless/out of their depth.
That said, as S'mon points out, it really is somewhat edition/system relative as to what would work best. And if it is 3e, and this is a new player unfamiliar with the game, starting at 1st so as to be able to get their feet on the ground and figure out how they want to "build" their character might not be a bad thing.
In my own 1-2e hybrid houseruled game, noone has had any complaints about coming in as the "low man on the totem pole" XP-wise...since/but they are still
on the totem pole....as opposed to coming in at 1st level with a 5th level party where the new PC is more standing
behind the totem pole, looking at it, saying "Well, isn't that nice. Have fun stormin' the castle! I'll be over here weaving a basket or something."
Given I still use the 1e XP charts, having a party at all the same level at one time is not a common occurance, but everyone is generally within 1 or 2, at the max, level(s) of each other.
Have fun and happy gaming.
--Steel Dragons