The question of what Main Quest Act you should choose first might seem like a straightforward one, but there are some interesting caveats. You are free to roam the wider world as you see fit, but certain Dungeons and areas of Sanctuary only become available during Main Story Quests.
Following the path the game sets you on, eventually, you'll reach the central hub city of Kyovashad (pictured above). After getting to know the place and meeting the various movers and shakers, you will be given three Main Story Quests, each of which correlates to the first three Acts of the game.
The really cool thing about Diablo 4 is that you are free to tackle them in any order you see fit, as quests aren't gated by level requirements. Enemies and areas scale to your character's level in the open world, so exploration is really encouraged (although enemies on a specific quest do have set levels, as seen above).
This makes the prospect of playing other characters (perhaps on different World Tiers) more appealing. Each Act consists of multiple quest lines and will take several hours each, and completing all three unlocks the next stage of the game (not to mention mounts).
Whether you dive right in is up to you. Instead, you could explore the open world, engage in Side Quests you happen across, delve into Dungeons (which reward the victorious with gear and powerful Class Aspects) or charge headlong at the imposing Strongholds that dot the map. Or you can just mindlessly grind World Events, slaying all in your path, earning EXP to level up your character and unlock new skills, whichever you prefer.
To answer the question of what Main Quest Act you should choose first, simply, the first Act is the lowest level and will guide your levelling experience. More experienced players, or those playing again as a different character could spend some time grinding and have their early-game experience in a different part of the map entirely.