What are the consequences of my choice between the two NPCs at the start?

The only differences are the route you take out of Helgen and the encounters there (side with Hadvar and you'll fight Stormcloaks, side with Ralof and you'll fight Imperials).

There are also slightly different rewards if you choose to follow them to Riverwood. Hadvar's uncle Alvor will give you free materials if you went with him whereas Ralof's sister Gerdur will let you stay at their house.

Both can be used for levelling- they're both invincible and never turn hostile.

Neither choice affects the Civil War Questline or any other quests.

It's also worth noting that neither Ralof nor the Stormcloaks tried to cut your head off. Just food for thought there...

If you follow Ralof you get heavy armor right away but if you follow Hadvar you get two handed weapon right away

Roleplay/story factors aside, the main gameplay differences between the two are the gear you'll get access to during the Unbound quest, and the amenities and items you'll get in Riverwood.

If you plan to wear Heavy Armor and use One-handed Weapons, Ralof's a good choice - but if you plan to start levelling Smithing and/or use a Two-Handed Weapon, Hadvar may be preferable. You'll likely pick up a level or two in your chosen skill(s) before you get out of that cave under Helgen.

Really, though, anything you pick up at this early stage is highly likely to be replaced once you start exploring properly - particularly if your questing takes you to the nearby Bleak Falls Barrow - and neither choice affects later quests in any major way, so don't lose any sleep over the decision.

If you follow Ralof:

• You will have the opportunity to take and wear Heavy Armor early on (taken from the first pair of Imperials you battle after getting your bindings removed,) but it will be a little longer until you get easy access to a Two-Handed Weapon.

• You will be directed towards, and become friendly with, Gerdur, Ralof's sister in Riverwood, providing you with a house in which to sleep and free access to some limited loot.

• You will be able to name-drop Ralof when encountering Ulfric Stormcloak in Windhelm (although this has no major effect on the dialogue or outcome thereof.)

• If you accompany Ralof to Riverwood, you'll recieve the miscellaneous quest to Join the Stormcloaks on your way out of the cave.

• During the Jagged Crown quest:

If you follow Hadvar:

• You will have the opportunity to take and wield a two-handed weapon early on (taken from the first pair of Stormcloaks you battle after getting your bindings removed,) but it will be a little longer until you get access to Heavy Armor.

• You will become friendly with Alvor, Hadvar's uncle and the Riverwood blacksmith, providing you with free access to some limited loot and some Iron Ingots by the Anvil outside Hadvar's house.

• You will be able to name-drop Hadvar when encountering General Tullius in Solitude (although this has no major effect on the dialogue or outcome thereof.)

• If you accompany Hadvar to Riverwood, you'll recieve the miscellaneous quest to Join the Imperials on your way out of the cave.

• During the Jagged Crown quest:

Source: UESP, adventuring!

Adding to Studoku's answer : materials are Iron Ingots and basic Iron equipment which becomes available for pickup near his forge.

If you are willing to steal they are easy to get ( as well as the steel ingots lying right beside them .. just saying) and if you value the resting place, then siding with Ralof can be considered the better choice.

There aren't really consequences, but if you go with the imperial guy you get discounts on items at the blacksmith in Riverwood. And if you go with Ralof you get to stay at his sister house and her husband's. It wint effect civil war quests either

Not much difference apart from armour and weapons

The consequences of following either Hadvar or Ralof at the beginning of the game reflects on who you kill when escaping:

• If you follow Ralof, you kill Hadvar with the Imperial lady as they come through the gate together.
• If you follow Hadvar, you join up with him instead and kill the Stormcloaks (which is Ralof and his dead friend) trying to get through the gate.

Ever wonder what happened to either one after following one or the other? Now you know. You kill them escaping Helgen. Additionally:

• Ralof gives you more heavy armor and one-handed weapons as you fight through imperials to get out.
• Hadvar's path gives you more light armor and two-handed weapons early on as you fight through the Stormcloaks getting out, but does not reflect what you get after escaping as it's open-world.
• After getting to Riverwood, either one gives you a place to stay with their family and free stuff.

So in truth, it makes no real difference who you choose to follow escaping; only that you have the option of killing either one, which is why they are gone from the game after leaving Helgen.

Remember: both Ralof and Hadvar enter the same building on different sides. Hadvar's family has better valuable free stuff than Ralof's, and a better home with a basement to use anytime. However, Ralof's family member (Hod) gets stuck and never comes out of his home, so not deciding to follow Ralof early-game could result in a crime while trying to get to him to sell or to buy wood from him. He is not, however, the only one in charge of a mill in Skyrim.

No matter who you choose to follow early on, it comes down to who you like the best, and has no consequences in game as you can still join either faction no matter who you follow. I personally like following Hadvar as I like him more, but I have followed Ralof quite a bit in other play throughs. I tend to join the Imperials side most of the time, just because am a huge Game of Thrones fan and Ulfric's clothes remind me of Jon Snow's outfit :P

A few years too late lol. Well if you follow Hadvar you end up killing Ralof and another Stormcloak in the beginning of the dungeon. Remember Ralof enter the opposite side, those tunnels ends up joining one another. If you follow Ralof you get to kill Hadvar and that stupid legion officer lady that wanted to chop off your head instead. Ever wonder why they disappear after Helgen well know you know. It doesn't take a mind f*ck to know that. It all rallies around who you like the most. It doesn't matter or have any late game choices other than that you sent one or the other to Valhalla escaping Helgen. The only difference is the rewards with armor or weapons early on escaping from Helgen, but that means nothing as you will find far better armors and weapons within your first few hours of gameplay. Following Ralof will grant more gold by selling items than you would necessarily with Hadvar. But gold is easy to come by in Skyrim if you know what your doing by picking up nearly everything to sell throughout your adventure. No weapon or armor in game is more powerful than the weapons and armors that you create and improve. You will get the dialog to join either faction Stormcloak or Imperial but you can get that dialog after talking to the other faction later in game. If you follow Hadvar and join the Stormcloaks Ralof is not around because hes dead and vise verse with Hadvar The choice is yours. Who you rather kill Hadvar or Ralof you can't avoid it. That is the only consequence. I say follow the one of the faction you rather join that way they are around and help you during the missions.