Although as HeavyMetalArchmage said, I dont think you really have to start in a Gaol or dungeon. I always thought a good start would be the player starting in a fenced off pen, in the middle of a military camp, as a "vollunteer" in some expeditionary force. Maybe after a small skirmish you are distinguished for killing a pile of rats or whatever and they let you loose as a agent for powers from above. It would give a bow to the tradition of starting as a prisoner, and would set the player up with a quest giver NPC from the getgo (your CO or general).
Getting rid of the anonymous beginings is a bad idea imo, but they can still be creative without rethinking the traditions or hampering the players rp.