We will be traveling by train from Paris to Orange via Avignon. Does it make more sense to rent a car in Avignon and drive to Orange, or continue by rail to Orange and rent a car there? We'll then drive to and sleep in Vaison la Romaine for 2 nights and eventually drop the car off in Nice several days later. It's our first trip to France. Thank you!
The station at Orange is quite small and somewhat remote from the action. As Bets said you will likely have a better choice at Avignon. The two are quite close by car. If you are not going to Orange for the Roman sites there is not a lot more there.
We used Autoeurope, rented our car here, and picked it up just outside the Avignon rail station. There was a great choice of cars and prices in Avignon.
I recommend you pick up the car at Avignon, then drive to Vaison which will be quicker for you. You could go via Chateauneuf-du-Pape if you want to see the famous wine area on your way.