I like to go to Point Lookout by level 5 because it's my favorite one and I can't wait to go there but most people would advise staying away until at least level 15.
Anchorage and the Pitt are both easy enough to do at very early levels but they don't punish you for waiting until later in your game either.
Zeta is best played in the early-mid teens. The aliens get stronger as you level up and by level 20, it's very frustrating. If you're a very sneaky character, it won't be that bad but it's murder on melee and non-sneaky characters.