First thing I do is write a design document. 90% of my games end there. I actually have a forum here where I save the best design docs for the future. The term "design doc" is used loosely -- it's not formal in any way. Just more of a brain dump of what the game is like, what the world is like, what the gameplay is like, and so on.
If I actually manage to get enough free time to go forward here (and it's something that hasn't happened since last year, sadly), I start coding. I start with the basic game mechanics first, then multiplayer, then graphics, and only then UI. UI is generally the last on my mind because most of the time it's guaranteed to change as the game progresses, so it makes no sense to do it early.