I'm starting a campaign tonight with a group of new players and was mulling over the same question. I've come up with the idea that there used to be a fellow we'll call Bob. Now Bob had a lot of gold/treasure/ whatever and wanted it to be safe so he hid it/buried it/etc. and made a map. He then tore this map into x number of pieces and got rid of them. (He had x kids?) Anyway, after generations have gone by, the PC's find themselves in possession of the pieces of the map, or at least a few of them. Those pieces each contain enough info to get them to their home town, wherever you're starting them out at. (Let me guess, Shadowdale.) And if this sounds too bland, have some of the PC's not have parts of the map, but have vital knowledge to the missing pieces. There are plenty of ways to elaborate... Just an idea.