I am in zone 3 and I have started a few things, but everything depends on your facilities. I have "hoophouses", an attached greenhouse, and "light tables" where I can move plants as they get bigger. It also depends on what you are starting. I start onions and celery first, since it takes them a long time to get going, and move on to peppers, eggplants, etc. a few weeks later. If you only have a "windowsill" area, I would be careful not to start rapid growers like tomatoes until 6-8 weeks before you set them outside, as they will get leggy and not be as productive as plants started later. Go to the catalogs and seed packets (or Johnny's website: use the garden planner)and write the dates on a calendar for starting the various veggies or flowers.

Yac:
I started my tomatoes yesterday. I have my homemade light setup to provide adequate light intensity so legginess will not be a issue. Will be starting a few more things this week such as peppers (hot and sweet) and perhaps a few flowers in a couple of weeks. Funny, my first year of gardening I started watermelon way too early on my windowsill. All the advice(opinions) I received were basically the same - started too early, the plant probably won't work out well -- well, that was the best watermelon year I've ever had! Maybe I'll start my watermelons early this year too . . heh.