Yes, chapter 4 is a nice option, but I think is better to start in chapter 2, when you are in Zigolas swamp at the first time, you can invite an Uribo. That's when I start.
How about treasure Hunting? It also begins at chapter 2, when you fight Gafgarion, you can steal the blood sword, I also stealed some equipment I couldn't get in the shops, and .....well got Alma's equipment. *Shrugs*