You need to choose one Grand Company, yes. I'd suggest choosing based on personal preference, as the only difference is the gear and chocobo barding you'll eventually get. It's also going to affect the storyline you'll get to a lesser extent (you'll basically report to your Grand Company and some story events will take place in your GC region). You'll also get a Company Hunting Log but I don't know if they're different from one another. Here's the Serpent Gear, Flame Gear, Storm Gear list.
Oh Ok thanks. So I assume the gears between the 3 GC are not that different?