Since it looks like there's plenty of GM discretion to keep us from finding anything too overpowered to do, we should do whatever's fun. And fun, to me, means being a medieval japanese wizard. The rest of the post will be with this in mind, but it's also totally okay if we build a fighter or a all-rounder ninja instead.
Zen said:
Wind is best because wherever we go, it'll be there and easy to use/manipulate.
I'm not sold on wind. Sure, it's omnipresent, but it's not like lightning users can't make lightning, or fire users make fire. I want an element with lots of creative wizarding possiblities. One other option is to eschew elemental techniques and use vanilla yin/yang techniques like most ninja (shadow manipulation, becoming bigger/stronger, turning into a dog, swapping minds with other people, animating objects, basically all of Genjutsu, the Rasengan, etc). In fact, the possibilities there are so diverse that I don't think it's worthwhile to invest deeply into the elements.
Thinking about elements in terms of what they can do that vanilla ninjutsu can't:
Earth: manipulation of earth, both large scale and for personal offense/defense. Sensing things through the earth?
Water: like Earth, but wetter. Better when fighting on a lake, worse when fighting on land.
Fire: burning things, potentially many things at once. Fire immunity?
Air: sound manipulation, guiding projectiles, cutting things slightly better. Flying?
Lightning: zapping things, getting in decisive hits even through defenses.
If we're doing a wizard, our decisive offensive attacks should be spells (compared to speccing Earth Armor and Earth Manipulation and then just punching people). If these spells are not neutral, like Shadow Imitation or Rasengan, then they need to be elemental. So maybe Lightning? Or maybe Earth supporting Genjutsu?