Personally, I like to do things from start to finish because otherwise I'm liable to just write the interesting bits and then get stuck joining them together. I also find that starting at the beginning and writing until the end helps because, that way, you have to at least have a plausible way of moving the story from one scene to the next: A, B, C, D, E. You don't want to find that you've written an awesome scene, but trying to include it makes your story go A, B, C, , E.
But I believe there are people who can write stories out of order, and they may get good results. I imagine that having a really solid plan helps them immensely, but can't speak from experience on that one. Do what works for you: if one doesn't go well, you can always try the other. By all means find out what other writers are doing, though: it couldn't hurt.
There's no right or wrong way for how to do things. I know writers who write scenes out of order and put them together when they're done and writers who write everything in order from start to finish. Everyone has their own personal method to the process that they're comfortable with, so my only suggestion can be to do what's most comfortable for you.