In measure theory there are three fundamentally related theorems about exchanging limits and integrals: Fatou's lemma, Lebesgue's Dominated Convergence Theorem, and Monotone Convergence Theorem. It is difficult to prove any of these from scratch, but once you have one, the others are easier.
My question is, for those who have learned these theorems: which one do you prefer to prove first? Difficulty, length, and, perhaps most importantly, how enlightening each path is are the key considerations. I suppose you could also phrase the question: if you were teaching a class in what order would you prove these theorems.
I've read through all of the proofs and there doesn't seem to be a big difference, but perhaps someone can shed some new light on this question.