yeah there is dist-upgrade, but that is not what he seems to be asking about.
what i do when i install a new kernel is (mind you this is the 'improper' non-debian way): apt-get install --simulate linux-2.4.18-k7 (or whatever the package is called for the kernel)
then i see what packages it would install as dependencies, then i install those. then i get the source from kernel.org and install that way.
anyways, getting back to your question, there is no "right" order to install stuff, it depends on what you're doing. i just install it, upgrade the kernel, set up stuff how i like it, then i install X, then all my X apps...then whenever i realize i dont have a program installed, i install it.