My advice is to deposit where you make money at.I personally dont deposit until I win freeroll money,then play ring games to build it up.
If you havnt done this,and want to deposit anyway,check out which sites dont have any payout problems,then see which one of them you like to play at,like graphics,amount of players actually playing,do lots of research so when ya cashout,it will go as you expect.I know I wouldnt deposit at a site Ive never played.
Remember alot of sites charge from $15 to $35 to send you a check.You can avoid this with epassporte,so research it.