I was planning to sign up at BeeHaw because it seems pretty active and with high quality discussions. When I heard that it had defederated from Lemmy.ml and Lemmy.world I decided not to sign up to any of those three as I would rather have access to all of them (though I can understand why BeeHaw defederated). So I just went with VLemmy.net as it was one of the recommended ones (on join-lemmy.org and the Awesome-Lemmy-Instances GitHub) and seems to be very broadly federated.
I don’t think it matters too much, though I think if you were signed up on the same instances as all your favourite communities it would be a bit more convenient.