It depends on the version you play - the TK variant of Angband is also in the archive, which has a limited town, but the default settings for Zangband include a large wilderness map with multiple cities (whcih should be detailed in my guide in the first post, if I got that far before I got bored with it - might finish it some day!)
Personally I tend to hang around the Outpost until I've done at least the first Mayor's quest and usually the second, then head to Telmora and do the sewer quest (but don't hang around there, it's expensive) before going to Angwil for most of the life of the character - the prices aren't bad and there's plenty of buildings (Thieves' Guild, Library, the incredibly useful Trump Tower etc.) I'll visit the oter towns to do quests from time to time though - the Old Man Willow one is tough but worth doing, and the Dark Elven Lords quest (both set by the innkepper in the Outpost) has a great reward, so long as you can deal with their guardians.
Travelling between towns isn't time consuming (there's less travelling than ADoM really) - just use the run command once you know the way, stopping to clobber the occasional monster. The wilderness has some tough monsters in it away from the towns and some low-level ones closer to, so getting some experience before leaving the outpost is a good idea.
Sorry, bit waffly there