Reciever radio should go first, trust me and 06wrx4me. I changed my stock unit to an alpine(ipod fullspeed ftw!) and the sound difference was night and day. The amp in the stock unit is absolutely the biggest piece of junk ever. You will be pleasantly happy.
If you do speakers first with stock hu you will not notice a very good improvement in sound at all IMHO. The stock deck does not have the wattage to power better speakers
Check this out:
Alpine CDA-9857 W/ Ipod full speed
Same setup i did