East to West is the way to go, historically, scenically and socially. The wall was started in Wallsend and built in a westerly direction, the milecastles and turrets are numbered from east to west. The scenery gets better the further you progress Westerly, as has already been said the first 15 or so miles of the wlk are through Wallsend/Newcastle, although some interesting views to be had not really the most scenic of places. Most people start from Wallsend so you're bound to find people heading your way along your journey.