Me, I've done it both ways. When we wrapped up the ACKS sandbox last summer with the loss and gains of players, we moved on to AD&D and I allowed players to start their characters in the range we ended the previous campaign - around 5th level.
In the end, that seemed less satisfying for the players, even those that seemed excited about the idea of starting at a mid level.
This time, we are starting at first level, and the very first adventure may change the direction of the campaign depending on how things play out.
I want my players to feel invested in the campaign from the very beginning, and I feel starting the characters from the beginning is key to that.
What about you? First level? Second? Fifth? Where do you start characters at the beginning of a campaign?