Really makes no difference at all. It was made so you can do it whatever way you want. There is an "order", I suppose, but it makes no odds whatsoever. All the stories are self-contained, as Del said.

However, I am of the opinion Aqua should not be played last, since she has the most dull story of the lot. Playing through the game three times was pretty hard going as it was, since it was the same thing three times over. Terra and Ventus had interesting stories and were interesting characters, while Aqua was just kinda eh. I am just glad I played as her first, because I dunno if I could have made it through her story last without giving up. Heck, Ventus' trials in Disney Town with that ridiculous mini-game was almost enough to make me give up.