It is unwritten that the preamp is powered on first followed by the amp. If you have an equalizer or other signal processor in your main signal path, then it is best (based on my experience) to turn on in order of signal path (pre->eq->signal_processor->amp). The power-down is in the reverse order to safely prevent damage to the amp or speakers due to a transient.
The sources may/may not be plugged into the ’Switched’ outlets of your preamp. If they are then they will power on when the preamp is powered on. Like a previous poster wrote, most preamps have a delay in which a signal is sent through to the amp (thus the soft ’thump’ you may hear).
Typically, my sources (tuner, CDP, TT, Cassette) I only turn on when I am using them. Even then, I turn the volume down before powering on any of the source units.