IMO it mostly depends on what NPC's you want to focus on being Jedi. The sooner you get them, the more you get to use them.
Dantoonie first is pretty common...but I like doing Nar Shadda 2nd, then Onderon, then Korriban.
Also, you can skip around them...you could go to Nar Shadda 2nd, say, do a few things w/out triggering the full 'planet plot', then go to Onderon...then back to Nar Shadda. I've done that a few times because I wanted to do some really specific things...but there's no real reason to do it that way.
Story wise, it's just little differences, nothing that seems important. Like, that one shopkeeper quest on Nar Shadda, it makes a little more sense dialogue wise if you haven't already done the other planets - plus I like the whole Onderon thing as a more fitting climactic prelude to the end-game, but it really doesn't mattert. *shrug*