Varies. Usually, I'll join Mages Guild first, but the first I'm likely to finish is, by far, the Arena. It's quick, efficient, gets you some start-up cash, you don't have to hike around the world just to actually join for real like with the Mages (admittedly, I LIKE the Mage Guild quests, but they can be time consuming if you go all at once. Much less so with the Arena).
Dark Brotherhood, oh boy, the Dark Brotherhood. They're usually the 3rd or so that I join, but the second I finish. They're just so much fun! Especially the mansion mission...Man, I've played that one so many times and enjoyed every second of it. The other family members are neat and there's a decent twist to it as well.
Fighters guild I never really got anywhere. Due to a glitch, it makes it effectively impossible to finish one of the early quests.
Thieves guild is pretty "meh" overall, except for the last mission. Of all the individual quests I've received in the game, none made me drop my jaw like that and say "I'm going to steal WHAT now?".