My first punt was at a brothel. I preferred that because it is a sure thing. For guys that have been doing this for a long time, it comes across as "mechanical", which it is if you've experienced it a lot, but I found it nice because the experience has more certainty to it. At a brothel you also get to choose the girls as part of the process, whereas at a massage shop you have to ask, which takes confidence, certainly something I didn't have when I started out. If all you're after is a NHJ then a massage shop will be fine, but if you're hoping for more, a brothel is a safer bet.