Assuming that there isn't a local group already preferentially playing one area or another:
What's your favorite theater?
For me, that's the Desert. So Hellfire and Back and Burning Empires.
Inside your favorite theater, what's your favorite force?
Desert? the Desert Rats, and the LRDG/SAS, though the Italian Autosahariana is also pretty cool.
Italy? 100BN, 442RCT. Nisei, Japanese-American forces.
Northwest Europe? 1st Infantry Division, the "Big Red 1" at Omaha.
Eastern Front? Soviet Engineer-Sapper battalion. Waiting for plastic 122mm guns to finish them out.
Vietnam? Air Cav, though be advised that is the most expensive option with all the helicopters you need. My gaming group seems to prefer Flames of 'Nam, at least when I bring the Air Cav. I'm going to work on some more boats.
I actually really like the various Aces campaigns, they're a good place for a slow-grow league to start. What's really cool is that all the different Ace skills are roughly equal, so you can have one player working with Tank Aces, while his opponent is doing Raiding Aces or Infantry Aces.
Infantry Aces is in the Italy book, Raiding Aces in Burning Empires, Tank Aces is in Blood, Guts, and Glory, and I think Mechanized Aces is an online PDF. You can also get Infantry Aces and Raiding Aces online, save you some money. But you have to buy the book to get the Tank Aces campaign.