Choosing my first grand company

[Enkidoh]

That is actually outdated information - the main storyline will be taking you everywhere besides the city of your Grand Company so choosing it based on proximity to Vesper Bay is not as wise as it appears to be. Besides the first quest for your Grand Company as part of the main scenario, there are no more quests given to the player by them other than two quests necessary for promotion at higher ranks, which all three Companies share (and both involve completing optional dungeons in Coerthas, the Dazmael Darkhold and the Aurum Vale respectively), and the quest to unlock the Wolves' Den PvP arena, which is near Limsa Lominsa.

Really, there is absolutely no benefit for choosing one Grand Company over the other - SE actually did this deliberately as in 1.0 most players went with the Immortal Flames for the reason Asvaldr mentioned, and hence SE wanted to avoid this Company imbalance.