I usually start out with drums and just go from there. It's not always the best thing to play to a click track, in my opinion. Tempo changes sometimes give the recording a much more natural feel. Then again, a lot of times having a guitar track down creates new inspiration for drumming.
Damn you for making me think.
I would go drums, bass, guitar, and vocals (which is the order of the most important, tempo-wise, to the least). Personally, I have my system set up so that I can record the drums, bass, and two guitars all at once. But that's just me.