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In my current Civ5 game, I have four cities relatively close to each other and I just got the first great prophet.
Should I found the religion in my capital (most population atm.) or should I found it in a (well connected) "border city" several hexes to the north, which would be closer to my nearest AI enemy? Thereby supposedly gaining more religious pressure on his cities?
This depends completely on your strategy from game to game. What victory condition are you wanting to achieve? And which religious buffs are you wanting to choose? How many doves are you going to need to produce per turn?
For instance, if you are choosing tithe, or a buff that is based on per follower, or per city religious affiliation, I would absolutely recommend using a border city to increase pressure as well as speed of spread.
However, if you are choosing military buffs, I would recommend placing it in your most insulated city. Many military buffs are enhancer/founder beliefs. If your holy city is conquered, you will lose these buffs.
