Pros and cons for the regions you can start in from the Crusader Kings 2: GoT Mod. A thread breaking down where you should start your campaign.

1. The North

Pro: Extremely hard to conquer, basically on an island, a lot of flavor in being the North/Starks/etc. And relatively large armies.

Con: Economy is nothing, you'll have a lot of trouble expanding with Old Gods religion clashes, and wildling invasions/Night's Watch

Basically it'll be up to you to fight off Kings beyond the Wall, the Others, raiders from Skaagos and the Iron Islands. No one will help you. Overall a very noob friendly region, good for learning how to play without being overwhelmed.

2. The Vale

Pros: Similar to the North except no religious clashes with the Faith. The hardest region to conquer, armies melt marching on you. The best starting region for new players.

Cons: Almost little to no economic potential unless you hold Gull Town. And limited options.

You basically have to play as the Arryns or the Royces or really have no shot of ever expanding out of the Vale for conquest. The things that keep you safe (the mountains) make it very hard to raise armies yourself.

Noob friendly, but close enough to be involved in the South.

3. The Riverlands

Pros: A lot of fun canon houses and interesting starting places. The Tullys, Harrenhal, Blackwoods, Brackens, Mallisters, get to kill the Freys. Loads of economic potential and troops. Easy access to lots of conquerable land and kingdoms.

Cons: YOU WILL BE IN EVERY WAR. Constantly fighting for borders with the Crownlands, Stormlands, Westerlands, and the Reach. And sometimes the Vale. High skill cap in managing vassals, armies, and realm politics to succeed. And Iron Born raids. Medium to advanced players only.