IMO is first, unless I have any new PMs. Then the Cat Lounge, then my subscribed threads, then New Posts, and every few days a deliberate wander through other forums -- not all the same day.
I do it two distinct different ways: When at work I go to the photos because they never fail to make me smile and ooo and aahhh; and then I see what's new in the Lounge. Later at home or on the weekends, I go to the Boards I have the most interest in to read and see what is new. I only check the blue room at home though. I've had way too many encounters with messy mascara at work, if I don't.