What not to buy
There two pieces you absolutely want to avoid off the bat. The first is the Deathclutch Figurine, which at the 378 iLevel is utterly inferior to the 359 iLevel Relic of Khaz'goroth in terms of combat table coverage. It is better once you've upgraded it to 391 iLevel with a Crystallized Firestone, but that will likely be a while.
Similarly, the Immolation Chestguard is pretty lackluster if you're raiding the Firelands. The Carapace of Imbibed Flame from Beth'tilac is a much stronger piece. Unless you have no better option, avoid the tier chest.
Make those lazy alts work for you
There's another piece you don't want to buy, but for a much better reason than that the piece is lackluster. Indeed, the wrist is actually a pretty good piece, but the kicker is that it's bind on equip, which means you should farm the valor points for it on one of your alts rather than spend your main's valor points.
There are two options here, the DPS ones with mastery (the Gigantiform Bracers) and the tanking ones with gobs of avoidance (the Bracers of Regal Force). At first glance, the Gigantiform Bracers seem the best choice; however, crunching the numbers puts the tanking bracers slightly ahead in terms of combat table coverage.
The Bracers of Regal Force, when the dodge is reforged to mastery and the yellow socket is gemmed for mastery, is worth 1.56% block chance, roughly .58% dodge, and .47% parry from the rating and the extra strength (after diminishing returns for the avoidance), a total of 2.61% CTC. In contrast, the Gigantiform Bracers are worth 2.17% block chance, .21% avoidance from the hit being reforged, and .09% parry from the extra strength (again, after diminishing returns for the avoidance), a total of 2.47% CTC.
Cheaper is better
To get the quickest bang for your buck, you'll want to snag the Deflecting Brimstone Band for 1,250 valor points. It's a quick, delicious piece that will snag you your quickest, most immediate best-in-slot item. You can follow that up with the Stoneheart Necklace, also 1,250 valor points.
However, if you're a glutton like me, you can sit on your valor points to go for the most expensive stuff first and then enjoy the wonderful feeling of every purchase after that becoming increasingly cheaper.
The set bonus shuffle
In any case, when you arrive at the time to start buying your tier pieces, you want to go for the gloves and the legs, in whichever order. The Immolation Handguards (1,650 VP) and the Immolation Legguards (2,200 VP) are best in slot for the 378 iLevel and only get better with the addition of a Crystallized Firestone.
By virtue of wanting those two pieces, you're going to find yourself with the two-piece bonus, which is just fantastic. However, going additionally for the four-piece bonus isn't really a priority. You'll gain more from the CTC of two optimally itemized pieces than you will from saddling yourself with two sadly itemized pieces and a very boring set bonus.
So, to repeat myself from earlier: Avoid the chest, and don't sweat the tier token drops.
Purchase some crazy threat
Here's a fun side project for you. Once the fights in Firelands start becoming more and more farm status and you want to start bringing some bigger numbers to the table -- Festergut style! -- you can play with some non-standard pieces to put together a max-threat set for funsies.
The retribution two-piece bonus is very strong for single-target threat/damage, thanks to its buff to Crusader Strike. Add on top of that the Ruthless Gladiator's Scaled Gauntlets' bonus of 5% additional Crusader Strike damage, and you're looking at a lot of bonuses being tossed about.
Now, before you lick closed those envelopes with all the "Are you huffing hairspray?!" letters, keep in mind I'm only talking about a for-funsies set here. This is not something you want to ever consider bringing to the table for a progression fight. Just like we weren't wearing DPS gear for heroic Festergut progression (well, the sane ones weren't!), you don't want to be sitting at the forefront of your guild's first heroic Rhyolith attempts talking about how much your Crusader Strike is hitting for!
Obviously, actually tanking pieces should come first. Flexing those e-biceps is always secondary.
So, how about an actual list?
Here's my recommendation for initial pick order. I'm avoiding the ancillary stuff that isn't top notch for tanking to rest in the mists beyond point #5.
Deflecting Brimstone Band
Bracers, if not purchased via an alt
Deathclutch Figure, if you have access to Crystallized Firestones
And don't forget the milk.
The Light and How to Swing It tries to help paladins cope with the dark times brought by Cataclysm. Check out our protection 101 guide and our suggestions for protection paladin addons.