Yeah, everyone else both here and elsewhere, that I do know that this one of them from me might be the most obvious one of the entire X Series to inquire about, but I figured that I might as well go for it, and that it's about: of which one is the most 'Suggested Order' bit to go for, with Zero, in this game, huh? Also, that it's mainly because that as far as I've noticed, that besides both the whole 'No Backtracking' bit and that trick/secret way of defeating Web Spider rather quickly with Zero that SpeedDemosArchiveSDA had shown us all about in their somewhat longer X4 Speed Run that I can't get it to work for me personally, that there does seem to be a few ways of going about it, like these couple/few of them:
'Abilities First'
01. Jet Stingray (Get 'Air-Dash')
02. Split Mushroom (Get 'Double Jump')
03. Storm Owl (Get 'Shot Eraser')
04. Slash Beast (Get 'Dash Slash')
05. Magma Dragoon (Get Flame Attack)
06. Web Spider (Get Lightning Attack)
07. Frost Walrus (Get Ice Attack)
08. Cyber Peacock (Get Giga Attack)
'Weaknesses Route'
01. Magma Dragoon (No weakness, Use Ride Armor)
02. Web Spider (No weakness, Attack him above/Flame Attack)
03. Slash Beast (No weakness, Use Triple Slash/Lightning Attack)
04. Split Mushroom (Use Lightning Attack)
05. Frost Walrus (Use Flame Attack)
06. Jet Stingray (Use Ice Attack)
07. Cyber Peacock (Use Flame Attack)
08. Storm Owl (Use Giga Attack)
Huh, friends? Well, that I do know of others: like you doing Magma Dragoon first, because of the Ride Armor and Storm Owl last, because that he's closer to the Space Port where that the Colonel is at, or you going for Split Mushroom first, because that he isn't affected by it and that Cyber Peacock after him, because that it's great practice for now, before later on in X5, with you using the Giga Attack as a finishing move to later on help you of gaining points for you building up your 'Hunter Rank', but that's only me, huh? >Danny<

In my first play when I was a kid I had trouble with Dragoon, Owl and Peacock mainly. Usually left them last in Final Weapon and earned a three/four games over. So , I always looked for a way that seems more 'easy'., like starting for Walrus and so..

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PS. Lemmings animal. : Also had trouble with Web Spider; mainly because his webs and Peacock shots required similar dodge skills.

Nowadays I prefer to start in the hardest one, Dragoon, without the Ride armor, for challenge purposes.

An interesting question, by the way. It's because of X4 that I started to defeat the Robot Masters/Mavericks/Mutos Reploids/Pseudoroids in the hardest way possible.

Oh man, the minute I discovered I could play through all the stages once while still collecting everything was when I started thinking about this a liiiittle too much. ^_^;
Even so, it's not entirely solidified, but here's pretty much how I route Zero's story:

1. [Jet Stingray] - I like starting here because it gets the ride chaser section out of the way right from the start, plus there's a sub tank that can start filling ASAP. I've started here enough times that not having air dashes anywhere else in the game really trips me up, so I really want Hienkyaku. I also feel like using his weakness is slower than just hitting him, especially if you get some dash-cancel slashes from behind.
2. [Magma Dragoon] - Ryuenjin! Obviously necessary for getting all The Goods and making some fights easier, but it's also my favorite. I will also gladly use that ride armor because it's hilarious and awesome, and also because I haven't practiced the boss enough for it not to be difficult.
3. [Cyber Peacock] - Providing I don't mess up dashing shenanigans (which I find hella fun), here's the other sub tank to fill!
4. [Web Spider] - This is honestly the one that's hard for me to pin down. I either put him here so that I have Raijingeki for Split Mushroom, or..really anywhere else before Slash Beast. I don't find him to be too difficult, so earlier = more max health for other fights. Buuut I look forward to his stage music the most, so it can be nice to save for later.
5. [Split Mushroom] - I would really prefer to do this stage after Frost Walrus, but gotta have that double jump. At least I get to Ryuenjin the miniboss.
6. [Frost Walrus] - Efficiency demands I pick up the other tanks, even if one is only for more Rakuhouha's and the other (hopefully) doesn't come into play at all.
7. [Storm Owl] - Iiiit's a level! That's not Slash Beast's! Also he's weak to a thing!
8. [Slash Beast] - Don't like this level, don't like this boss, cannot stand this power. Having both Ryuenjin and Hyouretsuzan is fun for the miniboss though~

So..yeah! Sorry if it's a bit rambly. >_>
(Though, I'm curious -- is Web Spider even affected by Ryuenjin? I really feel like I've done that before just to hear a multitude of *tink!*'s, and figured he had no weakness a la Slash Beast and Magma Dragoon. Or is this another case of Shippuuga being nigh impossible to use on its intended target? *Glares at General*)