There are two major factors to consider regarding the location of your windowbox; the amount of sunlight and the wind effects.
My windowboxes get sunshine for around an hour each day, and they face north-east, but I still manage to grow plants that the seed labels say "place in full sun" see below.
The surrounding buildings are white and so there is a lot of reflected light. However if you have less light it might be better to concentrate on plants that do not require full sun.
Wind is often a bigger problem. A windowbox or plant pot could kill someone if it fell, so you must make sure they are secure. Wind can also cause problems if you try to grow tall plants. If this is a problem then perhaps you are ideally placed to concentrate on alpine plants.
I grow most of my plants from seed because I just love to watch them grow from nothing to maturity, also there is a much greater variety of seeds available than there are plants. However there are far too many seeds in one packet for one windowbox, so there can be a lot of wastage.
If you want a variety of plants in your windowbox and don't want to buy many packets of seed you can either get together with some friends, or you can choose some of the very good mixes of seeds. I use mainly Thompson & Morgan and Mr Fothergill's seeds, and they do very good mixes.
I have used the fragrant mixes - fragrant flowers are usually very good at attracting bees and butterflies - and these are very useful if they are sorted into two packets, one for tall varieties and one for short. I have also used bee and butterfly mixes, and wildflower mixes. If you are new to gardening, and don't know what to do I would recommend one of these mixes.
Simply put your compost into the container, water it, run your finger down the middle lengthways to make a very shallow trench, sprinkle a few seeds down this trench, and cover and gently pat down. Within a week or two you will have a row of seedlings, and anything growing outside the row has not been planted by you, so may be a weed.
I also grow some plants in pots, and this is where I put my taller varieties. I grow Hesperis matonalis (Dames violet) because its wonderful fragrance reminds me of my garden where it grew wild in huge drifts. It is quite tall, and doesn't flower for long, so the pot can be pushed away in any old corner once it it past its best. The same goes for Nicotania, which is wonderfully fragrant in the evening and attracts hummingbird hawkmoths in the day, and convolvulus hawkmoths in the evening.
If you want an instant effect, then you can buy plants and within a couple of hours your windowbox can look like it has been there for months. This is the most expensive way of doing things, but it is the easiest. It is also the best way if you want to get something that takes ages to grow, or the seeds are difficult to germinate.
I always have a pot of lavender, and I buy this as a pot plant. Lavender smells so nice and bees, butterflies and moths love it. It is a fairly short-lived shrub, so it needs replacing every few years. In fact most shrubs are better bought as plants than raised from seed. Buddleia is perfect for butterflies, but in a pot or windowbox you will probably only have room for the very small varieties.
Ornamental willows grown as bonsai are very useful early sources of pollen for bumblebees, as are many other flowering bonsai. Heathers are also better grown from plugs or plants.
Many supermarkets sell herbs grown in pots, and these, grouped together would make an excellent windowbox if you allow some flowering. However if you are in the middle of a busy, polluted city do be aware that the leaves can sequester the pollutants, that is why greenery is so useful in cities as it cleans the air. I've made themed lists of plant suitable for windowboxes on this page. And remember anything you can grow in a windowbox you can also grow elsewhere.