These things are often done by different teams who can work concurrently and communicate with one another about challenges, needs, etc. If you are working solo, then it depends on what angle you're coming at this from.
If you're a programmer, you want to leave art and sound assets until much later in development. Put together some placeholder art and get a prototype up and running; honestly I think sound will come last (or when you get around to getting some real art assets into place).
If you're an artist, dig in and draw up your awesome characters and scenes; concept art first, then models/sprites whatever you're going to do.