There's threads out the wazoo on the subject, but most people are always willing to express their opinions again.
The first real industry, not counting farming, that I start up is stonecrafting. That produces nest boxes for my turkeys as well as stone pots and saleable items. I also build a jeweler's workshop in case someone gets a mood that requires that. I head for magma as soon as I get water and food under control, and build all four magma-powered buildings. I don't use them for salaeble goods but I need them. I will have previously built the mason, mechanic, and carpenter workshops but don't actually use them for industries either. Usually I need a leatherworking shop after two or three migrant waves because someone will need it for a mood. Likewise the clothier's shop, but less often that one for moods. Depending on the avaialable supply of leather, I make either leather bags or cloth bags for the miller and thresher to use. Leather bags is easier but requires buying leather from caravans. Cloth bags requires waiting for the pig tail crops to reach some reasonable size. Cloth and thread are also needed for the hospital, as is wood-burning, lye-making, and soap-making. The butchery and tannery are both built early on to get rid of the original draft animals but not used much until the turkeys start reproducing and the poults grow up.
Stonecrafting alone is more than enough to buy whatever my fortress needs, and it produces stone pots as a side-stream.
If you are just talking about buildings and not functioning industries, it looks like this:
1. Mason, Mechanic, Carpenter
2. Farms & Well
3. Butcher & Tanner (with underground refuse stockpile)
4. Jeweler, Crafting
5. Magma Kiln, Magma Smelter, Magma Glass Furnace, Magma Forge
6. Leatherworking, Clothier, Loom
7. Wood Furnace, Siege Workshop, Bowyer's Workshop
8. Quern, Kitchen Workshop, Kitchen, Still
9. Ashery, Soap Maker