It doesnt make a whole lot of difference however some programs require certain windows updates to be installed first. Some usb mice need SP2 instaledl prior to installing mouse driver. ATI catalyst control center requires .net to be installed or installation wont work; and SP2 is a pre-requisite for .net.
If u are installing windows xp, u could save a few restarts with windows update by downloading autopatcherXP (u need november full + all subsequent updates extracted, then run the updater).
I like to go directx9c (febuary), motherboard (and this includes sound and network for me), sp2 + updates, graphics card driver, mouse driver, monitor driver, cpu driver.