Along with Johns note on squeezing in the tiny resistors and diodes first, I'd include surface mount parts to that list of firsts too.
I like to work from the center to the edges. On large, tight boards, I may fit the large suff first, "just incase". If there is a problem fittlng something, it's usually because of part change, etc. (change in overall size, different case shape or even leg orientation, etc) it is most often easier to change position of a small part (like instead of flat, you can solder one end close to the board and stand it straight up, and use the long leg looped like a candy cane, for going back to the board.)
On small boards it hardly matters.
Bending legs slighty to the side/opposite ways/etc. to hold the piece (or 4), solder, clip excess leg off ..... "Next!" 
...next,next next, clean solder flux of board, install and call it done.
