Originally posted by: Cerb
1. OS.
2. Whatever you need for 'net access.
3. Updates.
4. Anything else.
It really doesn't matter much, except that some drivers like DirectX 9 to already be installed. And all that seems to do is make you restart after you install it, and then it magically finds that new hardware.
Let me put an * next to #2... if you have no hardware firewall (cable/DSL router), don't let your computer run nekkid through the Internet, it might come down with worms.

Throw
ZoneAlarm basic on there, put on your antivirus software, and have an antivirus offline-update file pre-downloaded so you can bring it up to speed without going online to do so. Many AV companies offer these, just browse their sites (for McAfee, it's called a "SuperDAT," for example).
I guess I'll add my personal preference:
1) OS
2) OS service pack (SP4 for Win2000, for example)
3) DirectX 9.0B
4) IE6SP1
5) FastPatch (a collection of 36 Win2000/IE/WMP/OutlookExpress patches run in a chain, with QChain.exe last to make it all come out in the wash at the reboot)
6) Chipset drivers (covers audio, AGP port, IDE and memory controllers for nForce/nF2)
7) Video drivers and dial-up-modem drivers (wooohoo!)
8) ZoneAlarm basic and AVG Free Edition
9) Windows Update
10) Office Update
11) Microsoft Baseline Security Analyzer 1.2
...more or less

I have most of the loot on CD, including the full-version IE6SP1 installer, so that helps.