I voted third level. If you're a cleric or wizard or druid, you've got second-level spells. If you're a fighter, you've got a good number of feats. If you're a rogue, you've got that extra d6 of damage. Everyone's got that next feat at third level, helping separate them from Joe First-Level Adventurer. Every character has a more defined role and ability, and is willing to stand toe-to-toe with an enemy, but fears that one lucky critical hit that could knock them into the negatives. I've seen more heroic actions at third level than any other -- at high levels, they almost expect to succeed at the impossible. At that lower level, they're truly risking everything.