I start with an outline and fill in the details from there.

I start with a wirefame. I use OmniGraffle.

I go with a mock up in photoshop. I start with function before form. I want it to work and I will pay someone to make it pretty later.

I’m the exact opposite of @ryanpowell. I absolutely cannot code anything until I have a working design. I think of it as building the shell, and then filling it with the goodies.

Not to be funny or anything. But I start on paper! As lame as it seems, get away from the computer!
Write out what you want it to do, make a use-case senario, make an if/else drop down diagram, think about the script you want to use.. It’s faster then clicking and typing around with first this, maybe then that..

Here is a wiki about use-cases:
http://en.wikipedia.org/wiki/Use_case
It has some related links with examples in the bottom section. If you’ve got the hang of it, you’ll make less mistakes and code faster in the future!