Before you begin linking any but the simplest hierarchy you should take a few minutes to plan your linking strategy. Your choices for the root of the hierarchy and how the branches grow out to the leaf objects will have important effects on the usability of your model.
The strategy behind linking objects into a hierarchy can be reduced to two main principles:
The hierarchy follows a logical progression from parent to child.
Parent objects move less than their descendants.
Within these two principles you have almost unlimited flexibility as to how you link your objects. If you think about how you intend to use the hierarchy, and link it with that use in mind, you will rarely have a problem.
Progression from parent to child means the links do not erratically jump from object to object. If two objects touch each other they should probably be linked as parent and child. There is nothing to prevent you from linking a body in the order of: Thigh->Foot->Shin->Waist. You would probably regret such a linking strategy later. The effort to figure out how to transform objects linked in such a strange way would be quite difficult.
Rather than build a single bone chain from a hip to a toe, the animator will make one chain from the hip to the ankle, and then a second independent chain from the heel to the toe. In this case there is no single hierarchy; instead there are two independent ones. This allows for independent control of the foot rotation, raising and pivoting on the heel or toe. The movement of the leg bones does not drive the foot contact with the ground.
Because of the way transforms are inherited from parent to child, small adjustments to a parent object might require you to adjust all of its descendants. The typical approach to linking is to choose as your root object the object that moves the least. Objects close to the root should move very little, and leaf objects should move the most.
This is especially true when you are linking jointed structures like robots or machinery, or intend to use the hierarchy with inverse kinematics.
An exception to this rule occurs when you are using the root object as a handle. All of the descendants of the root are just along for the ride. Consider a tray full of objects traveling on a conveyor belt. All the objects should be children of the tray even though the tray moves much more than any of the other objects.