People generally take these two choices.
A lot of newcomers go to where their relatives or friends are. This provides them with a guiding hand for the transition period for everything from accommodation, finding a place to rent, completing the necessary paper works, etc.
A few others who do not have the luxury of friends or relatives go to the largest city or the city that has the possibility of finding a job quickly. It is harder for this enterprising type to sustain themselves during the transition period. But is a better choice as you get to be independent as soon as possible.
A great way to immigrate however is to first obtain a student visa, i.e. to come as student to the country you want to immigrate to. This gives you ample time to assimilate and understand the new environment. But then many immigrants do not have this luxury.
Whichever method you choose for your first landing, a good amount of research on the internet about the place does empower you with dependable knowledge. Also, nowadays, almost all places in the world that Nepalis are, have Nepali organisations that provide information and help for newcomers into their region. Contacting them in advance and asking them all your questions will not go to waste.