In your opinion which dialect of Arabic is more useful and why?
Levantine or Egyptian is the best bet. You will get the most bang for your buck with those, they are widely understood in most places.
Also, learning MSA first is not the way to go. It just isn't. Not one person in the world actually speaks MSA regularly, only in news, politics, or formal situations. It is much better to learn a dialect first, then MSA once you get comfortable. It's much more proficient.
I am native arabic speaker lol so i do not care.. i just want to see others opinion
Let me answer you a correct answer since I'm from an Arabic speaking country. the Egyptian dialect is the more useful because every one will understand what you are saying, it is understandable in every Arabic speaking country, however, it is not useful for you to understand the other dialects and that is the problem when you learn Arabic :P