That's entirely up to you. There are some bonuses such as double quest experience and extra sub time for playing on a new world, because it is helping the server build a community. The server you choose doesn't matter because you can visit other servers and do content with people from other servers.

Experience gain isn't very difficult in this game and doesn't matter for your main class, because you are gated from new areas and its content by the level of the main story quest, not by your class level, but it helps to level up alt classes.

You may struggle to find an established free company on a new world, so that would be something to consider.