Our group has been gaming together for about 20-some-odd years. For the last couple of campaigns, really since we started playing Pathfinder for any length of time, we've had options for starting above level 1. Typically one option is providing a really good, meaty background for the GM, to build good subplots and storylines off of. The second option is something we borrowed from Deadlands, wherein your character starts a level higher, representing some previous pre-game experience, but is then given some randomly determined quirk, usually a slight hindrance, as a result of having 'seen the elephant'. A combination of greed for power and everybody-else-is-doing-it ensures that all the characters start at 3rd level.
I've done it as both a GM and a player, and it really is nice not being terrified of each encounter, having put such thought and care into creating a really interesting character, then having him killed by a lucky crit from a stinkin' kobold. I started running Iron Gods about a year and a half ago, and the players, starting level 3, didn't experience the buzzsaw that the first book seems to be for a lot of players. And really, in the long run it amounts to about 5K extra experience, which quickly becomes lost in the XP white noise of the next 2 or 3 levels.
Bottom line for me, my players having fun is absolutely paramount (always remember, fear is fun sometimes...once you've survived), and feeling just a little studly at the early levels can really feel heroic from the get-go.