Good question. The smart money says to do it in the following order: 1. 70-210 or 70-270 first (Windows Desktop core exam, either on Win200 Pro or WinXP Pro). 2. 70-290, 70-291, 70-293,70-294 (Windows Networking System core exams, in that order) 3. Elective exams next (see http://www.microsoft.com/learning/mcp/mcse/windows2003/#2 for details) 4. Design exam last: 70-297 or 70-298
The reasoning behind the recommendation is that the desktop stuff is usually a good way to get started and get your feet wet, whereas the Core Networking exams are what form the real foundation for the credential. The electives are a matter of personal choice and professional interest, and the designing exams have the reputation of being the hardest of them all, so waiting until you've passed all the others either forces you to finish the last remaining exam, or all the prior preparation provides you with as much background as possible to help ready you for that exam (take your pick of whichever rational works best for you).
This was first published in February 2004