As a general rule, turn-on: preamp (wait for stabilization if needed, like in tube preamps); amp (same); sources. Turn-off: sources, amp, preamp. I never had any turn-on or turn-off problems with the rock-solid Odysseys.
I unplug all my components when not in use because I believe that whatever gains there are in warm-up time and better sound aren't worth the potential damage caused by electricity surges, which are unpredictable. I used to leave solid-state components on, but had problems twice with surges that burned the internal fuses in my Stratos; a Monster Cable 2000 power strip didn't help at all. It didn't help the Stratos sound either, but that's another story.