I assume you are talking Survival game, on higher-than-peaceful difficulty.
You usually start pedestrian, with a shelter and manual mining operations. Then you set up Thermal Expansion power generation with coal or charcoal and a first simple (also Thermal Expansion) processing chain to double your ores, get bonus ores and smelt more efficiently.
After that, opinions vary. Some will immediately solve the power question with an early Yellorium Reactor. Others will set up a Minefactory Reloaded farming chain and mass-produce charcoal or biofuel for power - more challenge and complexity down that road, but tastes do differ. Everybody will build (semi-)automated Thermal Expansion factories to process stuff more efficiently, and see about storage space. The best solution is probably Deep Storage Units for mass items like Cobblestone, Sand and the likes, and an assortment of Strongboxes for the other stuff. Most people want to fill this then by using >Buildcraft quarries, and some will add flavour by using the >Equivalent Exchange alchemy options.
Once the resources are rolling in, it becomes viable to start your Applied Energistics ME network to vastly expand and simplify your storage. At that point, the energy question should be solved in a way that allows you to run at least one MFR Laser Drill and stop the tedious quarry mining.
At some point, you will have enough resources to forego that inferior armor and make Power Armor, which will allow you to run super-fast, fly around and generally be Iron Man. Take care not to catch fire from your new hotness, though.
Power in late game usually comes from nuclear plants, be they of the Yellorium variety or the more hardcore Atomic Science stuff. If using Yellorium, don't just upsize the thing, but consider switching to active cooling with the big multi-block Turbines for some awesome-looking addition to your base. If sized right, these will easily power all end-game stuff.
Once you achieved all that, maybe look into Galacticraft and go to the Moon, build your space station and plan a Mars mission.
That is just one way to do it, with several others at your disposal. Some like to use mining Turtles, or do some magic with Computercraft. Others enjoy the spelunking and will harvest lots of ores manually until rather late in the game. It's a sandbox, so bring your imagination. :-)
I had some fun building roads with the MFR "Road" blocks, which allow you to run very fast on their surface. Combined with Power Armor servos increasing your speed, running along those can be hilarious, as you can reach speeds that even exceed a free fall.
could you link that tutortial here??? or is it that yellorium reactor tutortial???
edit: ignore previous comment. i found your tutortial . i must say that those speed-are are really neat, love the music hahaha.
also: i will start a new world now seeing this tut. i have come to the conclusion that i did soooo many things wrong. i wasted resources aswell . learned from that and i thank you again for the great vids
Redstone Engines are too weak for just about everything. You want dynamos, starting with the steam dynamo. They burn most solid fuels and need cooling, but just right-clicking them with water buckets will do for a start.
As soon as you have a few pieces of copper, tin, iron, lead, redstone and gold, go and craft yourself a leadstone energy cell to buffer that energy, and a few conduits to transport it. You will also want a crescent hammer, which is the primary wrench. Next up is an Aqueous Accumulator to auto-pump that cooling water, and a few Fluiducts to carry it.
If you have access to large amounts of lava, Magmatic Dynamos are the easiest generators, as they are the only ones which do not require any cooling. But lava is usually not plentiful in early game.
I am just throwing you these names so you can look them up on the wiki. If you got all this, you have a good base for further experiments. Half the fun is finding out, so enjoy.
P.S.: Use Fluiducts to carry liquids. The Buildcraft pipes will also work, but are much more varied and complicated. For the start, an Aqueous Accumulator is what you want for water, but it does only that. Later in game, the Buildcraft pump will serve for other liquids.