When doing a stockinette stitch should you start with knit or purl?

Really, it does not matter. Most patterns do not specify which to start with, and if they don't, then you can start with whichever one you want.

However, some patterns will specify. For example, a pattern might say,

Beginning with a knit row, work in stockinette stitch for... In this case, you would knit the first row, and go from there.