There are a number of things to get clean on the exterior before staring the main body panel wash.  The reason for not trying to do everything at once is the possibility of water drying on the sheet metal, leaving water spots.  If you're screwing around cleaning a wheel while your hood is still wet, there's a good chance it'll dry off before you're done with the tire.  By doing the time-consuming things first, I can focus on washing, rinsing, and drying all the body panels in a shorter period of time.

Bugs and Road Tar

I'll clean any spots that look like they won't off with soap and brush with bug and tar remover.  If I accidentally leave some cleaner on the car, the later wash will ensure it gets removed, not eating through my clear coat.

Exterior Windows

Here I'll wet the glass and scrub with some soap solution. I'll use the long-handled brush to get 100% of the bugs and dirt off, and then rinse.  If you're in the sun or it's a hot day, you might want to dry the glass off to prevent baked-on water spots, even if you'll be re-wetting the windows during the main wash.

Wheels and Tires

Brake dust is your enemy here, and the best tool I've found for cleaning the stuff out is this wheel and tire brush:
.
It allows you to reach in between the spokes to clean the inner circumference of the wheel, as well as getting into tight spaces between the spokes and around the lugs.

I don't do much for cleaning the rubber, I just scrub the sidewall this the small, blue oval brush.  The bristles are slightly concave, letting it wrap around the tire.

There's no better way to help brake dust collect on your rubber than by spraying them with tire gloss:

It looks nice at first, but after driving your wheels collect the brake dust that might have otherwise blown away.  The gooey black dust stuck all over my tire brush is testament to that.

Bumpers and Exhaust

This mainly consists of making sure I've got all the bugs removed, and trying to clean the exhaust tips.  I'll usually squirt some degreaser into the tip and exhaust and scrub with a stiff brush.