You always chose an unconquered tile that is closest to entrance. The distance is measured by the number of steps required to get there from the entrance, as though you were walking through the dungeon. (In some cases, it can happen that there is a tile that is physically near the entrance, but only accessible by a path through many dungeon tiles.)
(The rules do not state this exactly. This will be corrected in later editions.)
If there is more than one such tile, you get to choose any one of them. Each round, you have to decide again. You do not take into account which tile was chosen the previous round (or whether it was conquered or not). So it is possible, for example: