Depends. Do you want to start as tribal (and reform the religion, then switch to feudal), or just start as Feudal and go from there? Nantes/Jorvik are great if you just want to start as Feudal, particularly Nantes. Conquer a bunch of the peninsula (and raid) until you get to 1500 prestige, then prepare an invasion for Mercia or Wessex. Loads of fun, but you'll be going for the empire of Britannia instead of Scandinavia.
But personally that's a little boring... I mean, if you just want to Holy War your way to your own private Island, go for it, but I kind of like the tribal issues a little better. The biggest thing when choosing tribals is to make sure your capital county (especially if you only have one) has a LOT of empty demesne slots. Those and your ruler's martial skill determine how many troops you get, at least until you start building up your capital.
Otherwise raid raid raid raid raid raid, and use the money and prestige to upgrade your holdings and to raise tribal armies. It's a blast!