I always start with the framework of the campaign setting and then find an appropriate module. Currently, we're playing in the Forgotten Realms. I let the players select their characters' regions and write their backgrounds, then saw that most of them chose the southern regions (two characters from Halruaa, one from the Shaar, and one from Tashalar). I started them off with "Dungeon of the Fire Opal" from Dungeon magazine. Since Halruaa is surrounded by mountains and the characters wanted to leave the country, I subjected them to "The Swarm" (again from Dungeon magazine) when they traversed a mountain pass. Stopping in at the first city they reached after leaving the mountains, Lapalgard, I drew them into "The Color of Ambition" from the Forgotten Realms Campaign Setting, then had them embroiled in the affairs of a merchant with "Thirds of Purloined Vellum" (yet again from Dungeon). In the case of that adventure, I changed the city where it was set. I decided to convert Night Below but needed time to do it, so as they traveled east into the Shaar, they met a young girl fleeing outsider assassins and are now at the tail end of "Vessel of the Stars" (a free adventure from the Wizards of the Coast site). When that's concluded, they'll be involved in the opening to Night Below...