As many have already said it all depends. There usually is a 'preferred' place to start on a build with all other things being equal (materials, tools, equipment and skills). Many projects have one componant which is the basis for everything else. With Traction engines this would be the boiler as everything else 'hangs' on it, for a clock it would be the plates.
The hardest part would vary between builders dependent on skill and equipment. I have heard model car builders who started on the tires with the reasoning that if they could not make a very good job of scale tires there would be no point in building the rest. Others may take the view that 'something will turn up', either their skill level will improve or some new technique would appear.
Doing the hardest part first can have a downside as well as an upside. If you fail to make a really good job the whole thing may be scrapped whereas if that item was the last to be made you have all the incentive of not wasting the effort you put in to all the rest of the project so you just set to and make a better version.
My 5 inch King loco was started nearly 30 years ago now with the clear intention of it being a long, long project. My circumstances have changed enormously since I made the frames. Initially all I had was hand tools and a decent pillar drill, closely followed by my first lathe.I also had little space and next to no spare cash or time. Now I am in the position of having a very well equipped good sized workshop, lots more cash and time and the expirience of making many smaller projects so my skill levels are greater than they were. At the time of starteing I thought I would have to build the boiler (for me probably the msot challenging bit) now I can afford to have one made.
So in all I think it is important to have some idea of how all the problems can be overcome or at least the belief that it is possible but that it's not absolutely necessary to do the difficult bit first. However it as absolutely imperitive that a start has to be made somewhere which I would say is the most important thing.
Using the Apollo program as a timely example the Americans didn't know how they were going to get to the moon but they believed they could, that it was worth doing and the made a start with a clear goal in mind.
regards Martin