I like to start all of mine indoors. Part of it is habit from when I lived in Colorado and had a 2 1/2 month growing season (had to start anything indoors because we could not plant until nearly July), and partly because we have squirrels from heck who dig up every seed and small sprout planted outdoors and eat it or rebury it somewhere random...
I start mine in egg cartons or disposable paper bathroom cups, then move them up through various assorted pots and old food containers as needed. I used to have a nice shelf with artificial lights, but don't have room for it in this house, so I just have trays of plants in every place that has good light. I am actually sprouting seeds right now in my chicken incubator, since I have eggs going; at 100 degrees I can get things to sprout in a couple of days, so I just rotate egg cartons through there. I do have issues with indoor started plants getting leggy, since we don't get a lot of good sunlight in this house...it was designed to keep the sun OUT, since we live in such a hot climate.
Once plants are close to ready to go in the garden, I will sit them outside during the day, and bring them in at night, for a week or so. Then they go out all day and all night for a few days before going into the ground. I save the bottles from water/soda/juice and cut the bottoms off to make little individual 'greenhouses' to cover plants the first week or so in the garden, for extra protection from high winds and pests until they get their roots dug into the ground.