Your first Feud plays a big part in your character.
Let's be honest, your gimmick can carry your character so far before it reaches that spot where you coast from there on... A feud will put it over that limit... More importantly, your first feud of many to come.
Every character works better with those who are opposites. Face vs Heel and Tweeners can be in the mix as well.
Based on your gimmick you want to find someone who is obviously a face or heel.. Opposite of what you would be and you want their gimmick to really fit your gimmick in well to provide the best story.
An easy example would be a young guy coming in. Gimmick as the cocky confident superstar who really knows no limit to his ego. Really he could fight anyone who has had success within the company.
Either someone out of the group of rookies who joined same time or a guy who been around for awhile. Someone with a title you can reach off the bat. Really anything but you would want their gimmick to fit your story at first to get the MOST of it.
Someone who can push you to your limits. Cocky rookie vs experienced veteran/champion. In which try to find a veteran/champion who has the gimmick you find best fits yours.
I believe the first feud is the most important feud to your career.