When I came out, I didn't tell my best guy friends first. I had no idea how they would take it nor what they would do with that information when the whole world didn't know yet.
I needed to tell someone though, so after my wife had fully processed it, I decided to tell the most open-minded woman I know- someone I had known since high school. She was completely awesome about it, and at least I had someone other than my wife to talk to while I figured out how to come out to the rest of the world. When I had gone full time and decided a full, permanent transition was for me, there could be no more closet.
Best I can remember, I came out in this order:
Sunday: Parents
Monday: Dealt with mom freaking out
Tuesday: Brother, Sister
Wednesday: All of my closest friends
Thursday: Wife's parents
Friday: Spent day on phone and email fielding questions and concerns
Monday: My wife made the announcement to all of her co-workers
Tuesday: Facebook
Wednesday: Relief!