I started in Ul'dah because desert towns have always appealed to me. I loved how Thanalan looked during a sunset while I played the beta, and well... Okay, I'll be honest. Once I saw Thancred in the beta, I was sold. :Q That and I like the layout of the town, as it's easier to get around than the other two cities. Having Ul'dah be the halfway point between Limsa Lominsa and Gridania also helped.