Develop your banner ads first
When I was looking for that elusive first copywriting job in advertising, a creative director told me that I could probably get a gig with a portfolio of nothing but good billboard concepts because billboards have the most foundational elements of what good marketing communication is about -- strong graphic images and brief text that pops.
Today, the banner represents that same format. It's highly limited, both textually and graphically. So ideas developed for that format will likely work across a much wider media scape. It's much easier to add production value to a simple concept than it is to take an idea that relies on high production value and boil it down to a stark version of its former self.
When you start with banner development, you'll force yourself to think high concept, yet low production cost. And if you're dealing with budget constraints, that's a good place to be.
It also sets us up well for the next section -- testing.