I usually paint the frame first and then when ready the underside of the body. I also like to paint the interior and door jams, including the inside of the doors prior to assembly. If the vehicle is being painted with a metallic I would definitely assemble everything before the final paint is applied so that all the panels will wind up with the same metallic pattern. If it's a solid color then you can easily paint everything separately and then assemble.
Anyway that's the way I have done it in the past and it works pretty well, then again I'm not building show cars either.