Always start with the Scales of Training-rhythm > relaxation/suppleness > contact/connection > impulsion > straightness > collection. This is the basis from which majority of top riders have begun training their horses from. It's been determined that the upper part of the scales cannot happen properly (in a classical manner) without the previous parts of the scales.
Rhythm and relaxation are somewhat inter-changeable. Rhythm means the horse has a steady, balanced beat through all paces. There's no rushing or wobbling. Relaxation and suppleness means the horse is almost elastic, with no tension, fear or pain. There should be no resistance to the rider.
Contact/connection is not collection. It is being able to feel the horse's mouth, gather feedback and give responses. It's basically opening that line of communication through the reins and into your hands. It does not mean hauling the horse's head around, as I've seen some people insist on doing. Seriously, someone tried getting on a horse of mine and shortening the reins to about 2 inches and tried calling it a contact. He was not allowed back...
Impulsion and straightness is also somewhat inter-changeable. Impulsion means the horse is taking its power from the hindlimbs, and coming up through the back and down into the head. Impulsion is also called coming up from behind. Straightness means the back hooves follow the front ones. Hence, you need straightness on a circle as well as a straight line.
Collection is the final stage. There cannot be true collection without the other parts. Collection is not head carriage. Head carriage will come naturally if it's true collection. Collection happens when all the other parts are in place. Achieving collection can take months if not years. As with contact, it does not mean hauling the reins up short and pushing on. Collection is the lightness of the forehand (all the power coming from behind), balance, carrying power/self carriage, and engagement.
The first three are the preliminary schooling points. You will need these regardless. The second, third, fourth, and fifth are the start of power development. The fourth, fifth and sixth are the carrying and strength stages.
The scales are used by classical dressage riders. Exercises such as shoulder in, lateral work, cavaletti etc., are all methods of achieving various points of the scales. Eventually, the horse can move up through the scales in a single warm up. For most, it's a work in progress. Pick dressage competition levels based on the point you are at in the scales.