Small (more Ocean than Land), Moderate (about the Same amount of Land and Ocean), or Large (more Land than Ocean). I generally choose Small as Ships are very slow, and can travel faster when not blocked by Large Land Masses. Also there are more High Seas Squares, and competition for Land is more intense making for a more interesting game.
Land Form
Archipelago (mostly small Islands), Normal (small Islands, and moderately sized continents), or Continents (just a few large land masses). I generally choose Continents, as they are easier to control, land forces being able to move without the aid of ships, and you only need one central Port for all your Colonies. You can easily win the game without settling any other continents. Just make sure no enemy gets a foothold on your Continent. You also tend to get large rivers which increase productivity, and easy contact with the Indians so you can learn their skills.
Temperature
Cool (more Lumber, Food, and Furs), Temperate (more Cotton, and Tobacco), and Warm (more Sugar, and Ore). This choice isn't critical, but it's probably best to choose Temperate then you get a good mix of everything, you shouldn't become over reliant on one commodity, or you will become a 'Banana Republic'. Note, the mix varies with latitude anyway.
Climate
Arid (a lot of Desert, may have Oasis or be uses to produce some Ore, but not a good choice), Normal, Wet (a lot of rain Forest, little Lumber, or Food when cleared). It's probably best to choose Normal for this. I suspect but am not sure that choosing Wet produces more Rivers, which is very useful, for Productivity, and Exploration.
Difficulty Level
Discoverer(Easiest), Explorer(Easy), Conquistador(Moderate), Governor(Tough),
or Viceroy(Toughest). Discoverer and Explorer are only good for the Novice or
Beginner, allowing them to learn how everything works, without being under
any pressure, they are no real challenge. Conquistador is good for the
moderately skilled player, but is not a great challenge. Governor is the
Level I play at, it is difficult, but still interesting. Viceroy can be won,
but I find it extremely tedious and boring.