Do you plan on adding parts to your current build gradually? Or buying the parts and doing one big build at the end?
If the former, I'd get graphics card (and PSU if needed) first, then processor/motherboard if you are going on a DDR3 platform, as you will have the RAM already, and then the rest.
If you plan on just doing one big build, it doesn't really matter. I'd leave the GPU until last as they're the most likely to drop in price, though!
I have personally had an idea of what I want my build to be for a few months, I've just been saving money and buying items when I see them on offer, tends to work out cheaper than buying them in one go, but this is only really possible if you have adequate hardware for your current needs already.