If you start with action--explosions! riots! mortal combat!--your readers won't have any reason to root for the hero (aside from the fact that he or she is the hero) and will likely be confused.
If you start with an exposition about each character and why they matter, readers will likely lose interest before they get to the exciting bits.
With stories set in the real world, you have the luxury of relying on common knowledge and convention. In a political thriller, for example, it is sufficient to say that the conspirators are working to topple the government and proceed on the assumption that the reader agrees such an outcome would be a bad thing.
With fantasy, you have the additional problem of introducing a reader to a world that contradicts or extends their common experience. In order to care, the reader needs to know what's at stake (otherwise the action is meaningless). But in order to know what's at stake the reader needs to understand the fantasy world (which interferes with the action). The problem of finding the right mix of action and information isn't unique to fantasy, but it seems that a fantasy author walks a finer line because of the additional burden of revealing information about a new world.
The best practice I know is to weave action and information together: start with a small action that, in addition to its intrinsic interest, provides a way to share some information with the reader. Of course, both action and information are most interesting when we experience them in a way that tells us something about the characters.
Deren blogs daily at The Laws of Making.
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