I personally stay in SM and then go to BRD for 5 levels from 40 - 45. I never really liked ZF and in one of the patches they put in a nerf where you cannot ride your horse through mobs to pull them without the hunters knocking you off.
So my vote goes to stay in SM till 40 and then BRD to 45 and then the rest either in Scholo first 3 rooms or Stratholme.