[mazafaka]

In learning to do my own setup, I noticed that some sites list the steps of the process in different orders. For instance, on this site: http://www.projectguitar.com/tut/pro1.htm here is the order:

Step 1: Head Stock Area
Step 2: Truss Rod and Neck Bow adjustment
Step 3: Nut Height check and adjustment
Step 4: String Height and Bridge adjustment
Step 5: Adjusting the intonation of a guitar
Step 6: Adjusting Pickup Height

Yet on Jemsite (http://www.jemsite.com/tech/1setup.htm) here is the order:

Step 1: Bridge Floating Tremolo Angle
Step 2: Tremolo Bridge Height
Step 3: Neck Bow - Truss Rod Adjustment
Step 4: Nut Height
Step 5: Pickup Height
Step 6: Intonation Adjustment
Step 7: String Retaining Bar

Does it matter that you follow the steps in a slightly different order? On Project Guitar (PJ) you adjust the truss rod first and then the bridge/string height, whereas on Jemsite, you adjust the trem first, THEN the truss rod. Also, the final steps of the PJ tutorial are to adjust intonation THEN pickup height, and on Jemsite you adjust pickup height THEN intonation.

Does this matter? Can you do it either way?

[Digital Black]

Doesn't matter really. I follow more of the way lsted on jemsite.

[dpm]

The first thing to do is to get the thing up to pitch, with the bridge roughly in the right spot. Then adjust the truss rod for the tension of the strings at pitch.
That allows you to go back to the bridge and adjust your action there. I always block the trem from pivoting back and tighten the springs a little. Use whatever fits best as a temporary block, you'll need to tweak the block thickness as you change the bridge height to maintain correct bridge angle.
Once your action is good, then do the nut height. You may have to add or remove shims, if you've removed all the shims and the nut is still too high then the wood under it needs to be lowered. You may want a pro to look at that bit.
So, assuming your action at both ends of the string is cool, it's time do adjust the intonation. You can do this after the trem is balanced or before unblocking it, whichever you find easiest.
Once you remove the trem block the pitch will raise - back off the springs until it's back in tune. Look at all the strings pitch as you do that as there may be some inaccuracy due to friction at the nut.
I like to pre-stretch the strings one at a time before doing all that, stretch-tune-stretch-tune etc. some brands require more than others.
Also, push down on the string where it leaves the saddle, and do the same at the nut, otherwise you may find that your action lowers itself as the string kinks itself in this area. Best to 'settle' it deliberately first and save yourself some hassle.
Once everything is nicely stretched in and intonated it's time to lock the nut. Lock the caps one at a time and check for how they pull the strings. If they tend to pull things out of tune a lot you may have to compensate for that by deliberately tuning them 'out'. So if, for example, your B goes sharp, unlock it and tune it flat a little then relock and it shouldn't require as much fine tuning to get right.
I'm sure someone will point out things I've missed or something they disagree with
Setups generally require a bit of back and forth between various elements to make everything work together well, but a systematic approach helps.