Cesar, I think that he was referring to the part where you choose from the three scenarios after fighting Ultros. And in that case, there is no impact no matter what order you choose, since you have to go through all three before the game progresses.

My personal preference is to start with the Edgar, Terra and Banon. That scenario is the shortest, as well as the easiest. You still have to protect Banon along the way, but with his Health ability, along with Edgar's Auto-Crossbow, you'll breeze right through to Narshe. Next select Locke's scenario. Here you have to steal from merchants and green soldiers to take their uniforms, which lets you progress further into the city of South Figaro. Eventually you rescue Celes (Be sure to equip her!) and sneak out of South Figaro through an underground tunnel. Head back toward Narshe, take out a boss (use Runic EVERY turn!!!!) and that one is over.

Last, do Sabin's scenario. This one can take a LONG time, depending on what you do along the way. You get Shadow (for a while), Cyan and Gau through the course of the journey, plus confrontations with Kefka himself! After a long trip, everyone meets back in Narshe and a challenging battle scenario begins as you try to defend the Esper from Kefka...