On a standard size continents map I like to make a scout first (not the most popular I know). They are quite useful for key inspirations (discover a second continent, meet three city states) and Eurekas (Second Continent, three City States, natural wonder). Additionally they are helpful for clear a barbarian outpost, kill a unit with a slinger, and kill three barbarians. I just find them useful for following the barb scout back to the camp. Once you have the Discipline policy you can do some damage to a barb scout and keep him from reporting in.
It's possible to do all these things without a scout but you will be more consistent with one.
I like to build a slinger next. Usually by the time he's built my warrior has put the hurt on a barb spearman in a camp and I jut need to walk over and finish him off - you can check those two Eurekas off the list.