It depends what the focus is. Whatever the focal point is, usually a figure, that get's loaded first. The one thing I do different than some of the other suggestions is that clothing and characters get added late in the game. I've learned, from drawing, that it's best to layout a scene first before putting too much detail into any element of the scene. It helps to avoid false starts and putting too much work into an element that's not working well. Adding clothing too early starts clogging Poser and slowing everything down. For me, it's best to get all the major elemeents of a scene in place, establish the angle and camera placement for the scene, get the poses fairly close to final, start working the lighting, and then finally add clothing and hair in the final tweaking stages. There might be a few renders at during this set up phase to see how things are starting to look so that major adjustments can be fixed during the layout stage. Then it's matter of fine tuning everything, finishing up poses and reworking lighting and going back and forth between rendering and adjusting elements in the image.

My visual indexes of Poser content are at http://www.sharecg.com/pf/rgagnon