This question doesn't have a simple answer.
When Flash loads a file (in a browser) it depends upon the browser to manage the http transaction, caching, etc. If you have only a few images and they aren't too big, the first method is easier to program, and you can depend upon the browsers http loading queue to manage the files.
If you have many files (tens and tens) of them, staggering it in some fashion may be better in a number of ways. First of all, every object creation is quite expensive, in the case of a loader you will end up attaching event listeners to it, and possibly even display a loading animation. This is quite expensive and will slow Flash down decreasing the responsiveness of your application. Secondly by staggering them you are in explicit control of what is loaded when, rather than depending on the browsers http implementation. For example, you can then ensure the items that are going to be accessed first by the user are loaded first.
In the case of much larger files (lets say hundreds of kilobytes) you can load one after the other which results in not starving the users bandwidth. This allows for some form of result quicker than perhaps waiting for four (a usual concurrent limit) hundred kilobyte files to download in parallel.
The strategy you choose really depends on what you are trying to make and I think ultimately is too ambiguous for this forum.
Another thing to note is, the second method isn't very robust in the case of the download failing.