What power level characters start at is a huge thematic decision for a campaign, and in some cases for the system itself. For example, the original D&D was a much grittier system where a first-level character was basically a commoner with a sword who could easily get killed by a random orc or goblin in a fair fight. However, D&D 4E is explicit about the fact that even first-level characters are the best and brightest of the world, heroes in their own right with skills and powers beyond the ken of common soldiers and guards.
Games vary quite a bit in how powerful starting characters are, but they mostly fall into three categories:
1) Average - Normal people, who will be faced with exceptional circumstances and become special, or even heroic. This is an increasingly-rare starting point in RPG systems, and isn't the default for any system I can think of.
2) Exceptional - The best athletes, warriors, and scientists, but not yet heroes in their own right. Many systems have characters start out this way, including World of Darkness.
3) Heroic - Powerful characters with some adventuring under their belt, but a long way to go. This is the default for D&D, and the suggested starting point for GURPS campaigns.
I vastly preferred D20 Modern's advancement system to that of its partner D&D 3E, and it wasn't until I started playing GURPS that I understood why. D20 Modern starts characters at the "Exceptional" level, as individuals with great potential but no fixed heroic path. Characters take level in basic classes like "Strong Hero" and "Smart Hero" before they can advance in more specific roles like "Martial Artist" or "Mage." This was always much more thematically appealing to me than D&D's system where a level one Wizard was still an established adventurer with battle magic at the ready.
This realization came to me when I started running GURPS games and figured out how much I preferred running 100-point "Exceptional" starting characters to the 150-point "Heroic" suggested level. Personally, I find the story of seasoned cops and novice hedge-mages becoming heroes to be the most compelling starting point for a campaign. Of course, I'm much more likely to change things up in either direction for experiments and one-shot games.
My thesis here is not that some starting power levels are universally better than others, but rather that each has thematic implications that should be taken into consideration. Here are my opinions on what to consider before choosing a system/power level for you next campaign:
Average
For the most part, players don't want to roleplay ordinary people. The only time I would suggest using this power level is for horror games when you really want the characters running scared, normal people in trapped circumstances beyond their control. Otherwise, let your characters be more awesome than this. Few modern systems default to this level, but many have rules for it or can easily be adapted.
Exceptional
This is the place to start if you want to run a long-term campaign with interesting characters and story development. It allows characters to be awesome and grow into heroes in a meaningful manner. On the other hand, it may not be the best choice for many short campaigns or action-centric games where heroes need to hold their own from the very beginning. World of Darkness and Savage Worlds default to this level, and GURPS is well-suited to it.
Heroic
This is the traditional starting-point for action RPGs and casual games. It allows characters to "get right to the good stuff," using their rise to heroics as backstory rather than gameplay. D&D 4E starts here and GURPS 4E suggests it as the default level.
Personal preferences aside, these are all viable routes - just be sure to pick the right one for your campaign.
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