The default Civ answer since the first is "play the map" but I almost always go Scout/Monument/Slinger (to get the Arcery eureka) first. First district will be one of either a Holy Site or a Campus, depending on what I want to do--I have a bad tendency to build Holy Site first because I usually shoot for a religion, but I don't think that's necessarily a good idea. I plan districts with adjacency bonuses in mind, so like, if there's a valley surrounded by mountains I'll almost always drop a Campus or Holy Site there (usually a Campus), and if I put a city down for building certain wonders (like a desert-y city where I know I'm gonna shoot for the Pyramids and Petra), I'll try to put a Theatre Square near where I'd plan to build those wonders.
If a civ has a special district, though, I almost always want it early because it's a cheap build. This is especially true of Russia, Korea, Germany, England, Greece, and Phoenicia. Unique districts tend to track with the best victory for the civ, too, so that helps. It's also why Germany is one of my favorites, because you can do pretty much anything you want with a shitload of extra production.
Also I plan for adjacency. Industrial Zones next to a lot of hills/rocks that will need quarrying, even if the improvements aren't there yet. If I can find a coastal spot adjacent to a land tile with a river, that's good because I can build a Commercial Site next to the Harbor for a bonus.