Each planet you go to makes the remaining planets easier. Vulcanus is generally the simplest and smoothest planet to get started up on, so you can’t really go wrong going there first.
But if you go to Gleba first, you’ll get biolabs going faster for massive science bonuses and Gleba also has infinite copper, plastic and iron going for it.
But if you go to Fulgora first, you’ll get recyclers, good grid equipment and more rocket parts than you can poke a stick at.
There’s also no good reason you can’t just bring an entire base’s worth of materials right away, but you still can drop down with empty pockets and bootstrap the base from local materials (except Aquilo).