Every starting city takes getting used to. Each one is confusing the first time you enter it. Once you've been walking around for a while, you get the hang of it and going from point A to point B becomes second nature.

The only complaint I ever get about Windurst is that it's much larger than the other cities. It has five zones (as compared to San d'Oria and Bastok's four), but most people fail to take advantage of the tarus in each of the four main zones that can warp you to the opposite ones (Windurst Walls to Port Windurst and Windurst Woods to Windurst Waters). This is an advantage that no other city has, really, because it allows you to enter any of the areas in the city (aside from Heaven's Tower, but you don't go there very often anyway) before you do the quest that gives you access to all areas from your moghouse.

Pick whichever you think suits you best. If you really don't have a preference, go to the city where your choice race is from to get the special ring. They're pretty decent things to have early on when there aren't many options for your finger armor slots.