I would say that AncestryDNA is the most popular at the moment. I believe the first step should be autosomal. The second step should be yDNA and the last mtDNA.
IMO, It is important to confirm DNA connections to cousins closer than 5th cousins using autosomal DNA, to be sure that no NON-PARENTAL events have occurred during this time period.
If for some reason, when using yDNA, there is a non-paternal event, you would have virtually no way of knowing, unless other yDNA males can be tested. Even if you find a match, then what? You confirm 1 line for yourself, and another male cousin(s).
The cost of a yDNA test is more than testing at AncestryDNA and transferring the Raw Data to FTDNA.
yDNA and mtDNA are really the only ways to extend your male and female lines beyond the limits of auDNA, so I do still recommend testing these as well.