Best room for egress window?
It goes in the bedroom because it will have a door, and that door may become blocked or might be inadvisable to open during a fire.

If there's no walls yet in the basement, or at least no doors, anywhere in the basement will serve your current requirement. There's no reason to not put it where it eventually belongs.

The idea is that the entire rest of your house could be on fire and when you wake up in that bedroom you have somewhere to go. In an open floor plan, consider the basement as one giant bedroom that needs two means of egress: the window and the staircase.

Proximity to gas fired equipment isn't really a concern (I don't think). It might be best if it wasn't near them but not if that's where it should go, which is situation dependent (this may warrant further research, see *below). 

IIRC most home fires stem from electrical faults and from open flame or space heaters. So you need to be prepared for anything.

*This is all off the cuff, your codes may be quite particular about these things and your contractor should be well aware of them, or they shouldn't be your contractor. IMO that is the difference between a handyman and a contractor.