People ask me this question all the time. The simple answer is, "I dont know".
The more complicated answer is, depending on your race, job/sub-job, abilities, nation, and luck the best place for you to level will vary. I'm a Galkan MNK from Windhurst. I know that levels 1-10 I spent most of my time in East and West Sarutaburuta with some moonlighting in Giddeus. Past 10, I spent a lot of time in Tahrongi Canyon. But I could always take and dish out a lot of damage with no real ability to heal or avoid poison, so where I went would likely differ from where a Taru WHM might go.
Typically, your maps should be your guide. The areas immediately surrounding your hometown will have light stuff that you can take levels 1-10. The farther you move away from your hometown, the nastier things become. Beyond that, certain areas will have certain creatures more dangerous to certain races/jobs. The best advice is to scout places out and never attack until you've properly identified an enemy.
I am in a group of people who are no more than 1 level different from me, what difficulty of monsters should we fight?
This question is rather loaded and hard to answer. It's also one that players relatively new to the game ask because they don't quite understand how the mob difficulty system works. So I will now attempt to explain.
When you target an enemy, you have the option to "Check" that enemy. The results of a check will tell you the relative strength, defense, evasion of that enemy to you. For example, something that checks as "weak" will be far beneath your skill level and attacking it will give you no experience points. Something that checks as "incredibly tough" will very likely smash you to itty-bitty pieces if you attack it alone.
So when you are in a group, you naturally want to take on mobs that are harder than you could take on solo. This pretty much means "tough" and above. But the question is, what is the highest my group can take? If your group takes an "incredibly tough" mob, then you stand to earn some good EXP, however you could also be slaughtered.
Thus, the answer to this question varies by area and mob. In an area there are typically "incredibly tough" mobs which a well-balanced group can take, and sometimes mobs that show up as "easy prey" that have some trick to their attacks that will slaughter you.
So the best advice I can give when entering a new area is to check around what people in the area at your level are fighting. Stick to those things. Chances are others have already experimented with what works and what doesn't, so no need to figure all that out again. Often you will find IT mobs that you can take in your group for good EXP.