Farming XP is probably the most important type of farming in the game, because you want to level up in order to increase your HQ level, which in turn allows you to further level up your heroes. Most areas give you decent amounts of XP actually, but when I really want to get some additional XP, here is what I do:

First of all, complete all the other star challenges that I can. This is extremely important because you get those first time rewards which really help in the long run. I didn't really pay attention to see if you do get XP as First Time rewards, but you might (still useful if you don't). If you hit a wall and you no longer have regular stages to complete, start focusing on the ones that are fastest to complete and give you a ton of experience points. The ones that I recommend focusing on, depending on your level, are:

Stage 3-8, which always gives a decent amount of XP early on.
Trials: Go for the highest level Trial that you can easily complete. You get a lot of additional bonuses from them.