[Horst F. JENS]

Nothing speaks against starting with a late age game. Choose a nation for yourself, choose some enemy nations that you feel you can handle and start playing.

Late age in general focus more on troops and less on magic, so it is a good way to learn basic troop tactics and don't worry too much about magic.
The default magic site frequency setting for late age is lower than in the other ages, but you can change that before the game start.
Because of the fewer magic sites all players tend to have fewer magic gems.

Early age is the inverse of late age, with relative weak troops but strong mages, and the default magic site frequency setting is high.

Middle age lays in between.

If you have no idea about how to design your god, take a no-magic combat god (Wyrm, Manticore), very good scales and dominion9 to get the Awe effect.
After playing some games with a nation you will get a feeling for what your national mages can do and can't do so you can plan your god with that wisdom in mind.