I don't think it really matters. If I have a quilt that measures 40 x 60, I'll do the top borders first since that way, I dont' have to piece the top and bottom strips :D
The main thing I try to do is alternate if there's multiple borders, so it's border 1 top/bottom, border 1 sides, 2 top/bottom, 2 sides, since I like how it looks when it alternates