If you are asking because you need to limit it to only one world (because you can only buy one EP, or are doing a challenge with world limitations, etc.), then I would probably go with Henford.
Otherwise, if you have no real reason to limit it to just one world, I would suggest putting your primary household in either Henford, or the rural or island sections of Windenburg, but then designate some combination of Henford, Windenburg, Forgotten Hollow, and/or Tartosa as areas where you can have "neighboring villages" with non-residential lots (shops, churches, parks, etc.) that you can utilize and other households to befriend or romance.