Well, it really depends on how you're building the world. If you're one of the people who starts with the big stuff (cosmology, world geography, etc) and gradually fills in the details (kingdoms, towns, etc), then you'd probably want to start with the world map and map out smaller areas as you add details. If you start with a small area you're interested in and then build out to the whole world, you'd want to start with maps for the little areas you've developed the most.
Why you're building the world also matters -- if you're doing it for a specific purpose, you should consider what maps you'll actually need for that purpose and start there. If you're doing it more for fun in general or as an excuse to make maps, I don't think it really matters where you start, as long as it's a map you want to make.