Here are some things to consider when choosing your instance for the first time:

Instance "Reputation"

Although there is indeed no central moderation in Mastodon, some instances are blocked by most others. This usually applies to certain political extremist instances and un- or barely-moderated instances. Making an account in those disreputable instances will result in you not being able to interact with or move to most other instances. Thus, it is best to avoid those instances.

Moderation policy

Instances have their own rules and moderation teams. Not agreeing with the moderation "style" or rules of an instance will make your experience less than enjoyable. (this is pretty obvious do I have to say more)

Instance "culture"

The local and federated timeline of an instance will reflect the interest of its users. Try to join instances with people similar in interest to you to get the most out of local and federated feeds. (e.g. if you're straight is probably not for you)

Instance stability, performance, etc.

If signing up at some instance doesn't work try signing up at some other instance. Make sure your instance will stay up for the forseeable future. (god those are really obvious but I can't just write nothing)