There is no good reason not to start at 1 mg. It's all a bunch of hooey pseudoscience on the ".25 is JUST AS GOOD". The study people are talking about when they tell you this says that over a longer length of time, finasteride seems to work almost as well.
Anecdotal evidence seems to differ wildly and the study was not completely conclusive.
1mg is the preferred dose, so start somewhere around there. A lot of people like myself bought Fincar so by cutting it into fourths we started on 1.25 mg. I have had no real sides except ball ache my first week and a little bit since then (just passed the two month mark)
If your sides are too much, then you can reduce and go down. You might be like the majority of people, though, and have no side effects.