The most basic synthesiser system will consist of:
1 VCO - this makes raw sound of the synth, analogous to the strings of a guitar
1 VC-LFO - this will allow you to modulate certain functions on the other modules, eg. vibrato which is modulating the pitch of the VCO
1 VCF eg. COTA or Superladder - this shapes the raw sound of the VCO and controls it harmonics or brightness
1 ADSR/VCA - this shapes the volume of the sound, but it can also sweep the filter for that characteristic synth sound
1 midiDAC midi-CV interface - to control the pitch of the VCO and to gate the ADSR when you hold a key down
1 Power supply with Multiple - to power your modular.
A midi keyboard or other controller - so you can actually play your modular
A case - to house your modules. Ready made or custom built 19" rack flightcases are the easiest to use.
This is the bare minimum really and will give you a synth somewhat like a SH-101.
What order should I build them?
Once you have your case sorted your first module should be the power supply. No module can work without a power supply so it makes sense to do this part first. Do not skimp on the power supply or the distribution system. Good quality power and cabling will save lots of time later on and will ensure your modular sounds good.
I would recommend the next module you should get is a VCO. On its own it is not much use but the oscillator will act as a signal source for all your other modules.
The third module will probably be the midiDAC to allow for keyboard control of the modules. You may already have a midi-CV convertor, or a CV/gate output synthesiser, so in this case you may not need a midiDAC.
Then you should consider building a filter, an ADSR/VCA, and a LFO.
This should give you a great sounding synthesiser with a huge potential on which to expand.
Expansion
The next stage is normally to add another ADSR/VCA. You can then control the VCF and output VCA with their own individual ADSR.
The next stage is to add another VCO and a mixer, eg. Oakley Multimix. The Stooge variant is probably the best one to get because of its flexibility.
The next stage is to add another ADSR/VCA and perhaps a Triple-VCA. The extra VCAs can allow you to have voltage control over modulation depths.
You may then want to add a Noise/Filter module, but you'll probably also need a another mixer to allow CVs and audio signals to be mixed together.
Then you can start adding the more esoteric modules like Sample/Slew, Ring Modulators and Waveshapers like the Discontinuity.
However, everyone will have their own pathway to their ultimate synth system. Indeed, not everyone starts with VCOs and many use their modulars to process external sounds. They would start with an EFG-Deluxe and perhaps more filters and have a ring modulator.
Filter Frenzy in this system. Four of our filters side by side in a custom 12U high 19" rack case from Flightcase Warehouse. The 1U Filter Core modules offer a great way to get many different sounds without filling all your available rack space.
Any other useful information?
Gordon Reid's Sound on Sound articles are pretty good for learning all about sound synthesis in general.
www.soundonsound.com/sos/allsynthsecrets.htm
The ARP2600's Owners Manual is also a good read:
www.guitarfool.com/ARP2600.html