I also tend to go to the "new posts" link. In fact, I try to change it up a bit by visiting individual forums instead. Sometimes, after going to the "new posts" link, I would click a thread and visit its forum for any other threads.
If I see any new PMs I check them first. I don't necessarily reply to them right away, though. If I'm expecting replies to a topic, Ill check that next. Otherwise, my first forum is probably Goal Setting, General Discussion, or Coping.
I scroll to the bottom & then work my way up as I figure it's better to read the general forums before delving into SA topics immediately. I don't read all the forums though, I do have a checklist of sorts