I guess they weren't kidding when they said that marijuaner is the gateway drug. It's usually everyone's first illicit-drug in the list (except for you 15 year-old coke heads).
The order you should try drugs in: I would put the stronger hallucinogens towards the end of the list, but everything else is up for grabs.
My order has been roughly: weed, alcohol, phencyclidine, psilocybin, mda/mdma, cocaine, fentanyl, ketamine, lsd, painkillers (I'm a late bloomer), yerba mate.
edit: forgot two