I am currently in the process of filling out my GE FMP application, and was wondering if anyone had any input in which business unit is best to start in? I am having trouble deciding between Oil and Gas, Aviation, and GE Capital

Depends on what you want to do in 4+ years. Although FMP is mostly accounting, it's a good entry level job. However, you'll really need to bust your ass and stand out to get on Corporate Audit Staff after your FMP rotations. CAS is what makes investing time in GE worthwhile. It's the best training program for aspiring CFOs in the world. From there, you'll be able to exit to any GE business of your choosing, go to grad school, or do Management / Strategy consulting. It won't set you up for IB unless you network hard.