Lilith > all. She may not have any particularly good damage-enhancing skills (besides a SMG damage mod,) but with the crazy amount of utility you can get in all her skills and particularly in amping up phasewalk, you can really use anything you want with her.
* Moxxi's arena isn't related to the game and is 100% scaled to your level. It has a bank, however, so you will want to teleport there for that.
* Zombie Island can be done from level 1 since it scales just fine, but it's tough if you go in early, and the rest of the game does NOT scale to your level, so you could trivialize the normal game content.
* Knoxx is meant to strictly come after the main storyline. It wasn't released until I had already beaten the game on Playthrough 2, so I went in at level 50. I understand it's pretty tough on PT1 if you go straight to there after finishing the main story.
* Claptrap's is an unknown to me. They took too long to release it, and so I never got it. I lent my game to a friend, who borrowed it for nearly a year and I just recently got it back.