Well, I think it really depends on your play-style preference.
I've leveled a few Warriors and I would personally suggest going arms until 60. Arms will scale better with less gear. However the queue system for dungeons provides a solid armor set as you level. Fury just doesn't seem to produce results until you're able to Titan's Grip.
That being said, if you have access to Heirloom gear, leveling Fury is a lot of fun. Titan's Grip with a pair of Bloodied Arcanite Reapers is a pretty mean combo.