There are so many places to start, and they're all good!
If you're just looking for a convenient location near St Louis, check out the
Parking and Riding Suggestions page. St Charles trailhead and the Page Extension lot are the easiest spots to reach from St Louis.
On that end of the trail, you might start at St Charles if you want to be near businesses and services. You might head north from Weldon Spring if you want to see the river and remote wooded areas. You might go to Augusta if you're interested in wineries and visiting a charming and quaint town. If you want to see river bluffs, your best bet is to go farther west, heading west from McKittrick or east from Rocheport (to name just a few of the many options).
You can ride on the Katy many many times and experience different surroundings each time. Have fun!