There is a location within ~15 hexes of the cryo facility that can give you some nice equipment if you're lucky. That's where I go first in almost every game. Be careful about how you use what you find, though.
There's another location even closer to the cryo facility that also gives you important equipment, but you'll need something legitimately valuable like nightvision goggles or a gas mask to trade for it. So you're usually better off waiting.
There's a key location north-northeast-ish of the cryo facility. If you haven't found it yet, look for it. Knowing about this place will make you die a lot less in the early/mid game. It will also help you understand what the fuck is happening, if you choose the right dialog options.
Making a bee line for DMC is also workable, especially if you found valuable stuff at the first place I mentioned, which you can then sell at the market. And I do mean a bee line: go straight to it, sleep only at night and avoid scavenging more than a few hexes. You can cross the map a lot faster than you think if you focus on traveling instead of scavenging.
In general, you'll want to set up a "home base" outside DMC where you can stash plot-important and/or heavy items that you don't immediately need. Dropping shit on a campsite within the sprawl works fine; there are basically no looters outside DMC, so your shit will never get stolen.
I sometimes also make a small base in the southernmost part of the map, for convenience purposes. I won't say why, though.
It's usually better to stay on the move. "Holing up" is an easy and effective survival method but you won't learn any of the shortcuts and tricks that will help you get through the early game faster. This is important because, while the plot is very short, actually finishing the game, let alone seeing every possible quest branch, is extremely difficult. You're going to die a lot.
There are a few hidden locations, quest branches and characters that you'll never ever see unless you experiment and think outside the box somewhat. For instance, there's one event that triggers an absolutely hellish escort quest which, unless you've already played the game to that point, you will never even know /is/ an escort quest. But if you kill the guy instead of escorting him he drops some items that you can use yourself as well as a phone containing the coordinates of a hidden location you can only access if you have the hacking skill and yadayadayada you get the point.
tl;dr in general DMC is the safest and most useful place in the game and you'll always want to go there and gain access to the city ASAP