At the start (and on average throughout a game, taking flagged cells as 'clicked') in an expert game the chance of a random unclicked cell containing a mine is 1/5, or 20%. Compare this to a cell next to, say, a number '1' which has three available neighbours, then each of those cells will have about a 1/3, or 33% chance of containing a mine (ignoring the influence of neighbours). In fact a lot of the time the chance of finding a mine next to the bit you've already done is quite a bit higher (for example even an isolated '2' gives a probability of 1/4, 25%).
So the simple safest option is to go in an open space (also gives you more chance of getting an opening usually). To increase your chance of getting an opening, go in a cell that has few neighbours, for example on the edge or in a corner.
The alternative is calculating/getting familiar with the probabilities different configurations give rise to. However these are case specific in a developed game, and very quickly get very complicated to calculate!
Note: If you have a small part you're stuck with which is disconnected from the main part left to solve, there is no point in leaving this til the end. A common example of this is if you can see an inevitable 50/50 situation.