I agree with what most have said in as much as you should pick a starting nation that most suits your fancy in the game. I've leveled starting jobs in all three nation areas and can honestly say that Bastok has been my favorite for lots of reasons:
Primarily, the city layout is simple. Everything is easy to find, and you don't have to walk ten miles to get somewhere (unlike in Windurst where I spent a couple of dedicated weeks questing for fame and still got lost/confused trying to find npcs and places). Secondly, the exp from 1-10 is bar none the fastest of all nation areas imo, and you have a good range of mobs and areas you can utilize in a relatively small distance. Between South Gustaberg, Dangruf Wadi, and North Gustaberg, each within short walking distance, there is great exp to be had all the way up through level 10 and beyond. I found leveling there to be much less dangerous/argo prone than the Ronfaure/ La Theine areas (if you will be a mage, especially since wind and water elementals like to spawn frequently in La Theine). You also have Zeruhn Mines which I found to be great dc-em exp at very low levels right in Bastok Mines.
Speaking of the mines, Bastok is something to consider in a major way if you intend to craft in Smithing or Goldsmithing. It is the nation most conveniently located among three mines (Zeruhn-Beginner, Palborough-intermediate, Gusgen-advanced) that can carry you well up through job level 50+ and both guilds are located in Bastok Markets.
I enjoyed leveling in the other nation areas as well, but found Windurst areas far too spread out and the mob levels a bit more random (and a lot more irritating with Crawlers' Poison Breath, Cocoon, & Sticky Thread attacks for example). I liked San D'Oria second best in the respect that West/East Ronfaure provided good exp and a good variety of mobs but found that the later end of leveling to 10 was frustrating. I'm not much for leveling on EP after EP for soloing and it seemed to me the mobs toward level ten became either too challenging to solo or required too much resting time afterward for my taste. King Ranperre's Tomb provided a pretty decent way to cover the gap but rather dangerous. About everything that level links.
Both areas were more aesthetically pleasing with waterfalls and greenery compared to Bastok's dry dustiness. But if the ease of leveling is more important than the visual environment, it won't be an issue for you. As for the other nations themselves, I found Windurst to be complicated to navigate and not convenient or efficient in layout and the whole rhyming "feetsie-weetsie" stuff from the NPCs gets old... rather quickly. San D'Oria's NPCs are just flat out rude, and though their layout is better than Windurst's, it still can't compare to the simplicity of Bastok's in my opinion.
One thing I will admit is that if you choose Bastok, you need to be rather dilligent in making supply runs to Outposts when they become available. Some of them, like Sarutabruta, you won't have the opportunity to grab but once in a blue moon. If you're into heavy OP warp usage, San D'Oria may be the better choice. I'd say Windurst also, but Rank 8 mission is a pain in the ass. :biggrin:
Sorry for the long post, but I just wanted to give you some specific things to consider. Hope this helps some.