Any of the companies are good choices to start off with. If you're going to be purchasing minis, the sets North Star did are each a nice basic company with an extra troop or two. If you're going with minis you already own, there's probably a company written to fit them. You might get most utility out of Scotland Yard, Lord Curr's Company or the Servants of Ra, depending on what else you play. Each offers a degree of straight Victorian Gaming, a little Weird Science, or some magic/Gothic Horror. But it would be really hard to go wrong with any of the companies, especially in the first volume.