They each have their charm.
The Fantasyland entrance is striking because the Tie Echelon is right there and then you walk past the Cantina and Boom, there's the Millenium Falcon. This one throws you in the fastest, I feel.
The Frontierland entrance is cool because you get this neat effect as you go through the tunnel and the oil lamps become star wars lamps and the music swells and then you are there in front of the droid depot and the hustle and bustle of the market and lots of choices of which way to go and explore.
My favorite is the Critter Country entrance, though. I think because it is less used and because you go through the "wilderness" and hear animals in the bushes and the hum of moisture vaporators as you happen upon the resistance base on the outskirts. You continue on and find yourself walking through the marketplace, and then at the end of the marketplace you come out on a raised area overlooking the Millenium Falcon, with Dok Ondar's to the side with its Jedi Statue and the black spire.
Really, you can't go wrong.