Well, it kind of depends on what you are looking for. A few items used very early in the game are cheaper from npcs. Sandoria has a bunch of items on their AH for low level players up to about the 30s as well as some synth items. The Windurst AH isnt used much at all as far as I am aware. The Bastok AH is where you may want to look for smithing materials; they are sometimes cheaper than the Jeuno AH. Cheap items and things like crystals are often best sold in the city auction houses because of the lower fees. I only sell crystals in the city auction houses, for example.
The Jeuno AH is where you will find the largest variety of items and is where are of the very expensive items are. There are low level items too but you may want to compare with city ah prices. Getting to jeno can be scarry for a low level character. What you may want to do is switch to a lvl 1 job and try to run there (when you have the need) without the risk of losing exp. Some people even have races to see who can make the trip as a lvl 1 fastest. As a new player you wont be familiar with the area and will likely die a few times but it gets easier. If you choose to make mules it is useful to run one to jeuno so that it can sell stuff on their ah for you or buy items and send them to your main account without having to go there repeatedly.
Magic scrolls are sold in the jeuno ah, even ones that are also sold by npcs. A lot of scrolls are going to be cheaper purchased directly from an npc. Some scrolls are drops from enemies and bcnms and will be much cheaper than the scrolls that are only available for npcs. In other words, to be efficient with your money you should look up a given scroll in the wiki and see the ways it is available rather than just purchasing from the ah or an npc without looking.
ffxiah.com is a nifty resource that you can use to check prices and availability of the jeuno AH. You may want to check it out.