I start with the lower proof bourbons first then move up in proof then move on to the rye whiskies.
I second Paul's approach - I work up in proof and spiciness if I'm doing a studied tasting. If I'm just relaxing at home - I tend not to vary much in a sitting and don't think too much about the order.
"Too much of anything is bad, but too much of good whiskey is barely enough." - Mark Twain
"Because Whiskey Matters!" - David Perkins