I know it's passe, but I generally like to start with a set of requirements first. In the old days, when we were doing XP instead of agile, we didn't feel the pressure to "code something, anything." Now, unless I check in a couple thousand lines of code per day people think I'm slacking.

But... not trying to say "build the UI first" is a bad choice if it works for you. I do mostly backend work on "high trust" transactions, so I tend to look at the API first and see if it matches the requirements i have at the time.