Gridania, Ul'Dah and Limsa Liminsa are three possible places to appear. They're not starting zones like in other mmos (they work like 3 major cities). Don't worry and go with the flow.

The first part of the game is in your home city (the one you first log in inside). At level 20, your main story will lead you to Ul'dah, and for the third part (the Grand Company quests) you will be traveling all over the world, in Limsa, Grid, and Ul'dah.

*puts nickpicky glasses on* And there's only one content, Aldenard - and the island of Vylbrand.

For now there aren't many questlines to do... everything is a bit more global. In 2.0 there will be more content per area.