Personally, I dive right into the DB Schema. I use a modeling tool and just start with the basic relationships. For example, a User table and then as I think of features I think about how I will need to store them, how each entity relates to the other, etc. I'm a nut for normalization. At some point the schema is good enough to start coding some basic pages to login and do things. Of course, the schema never stays the same but evolves with the app.

I think the biggest reason I enjoy doing this is because I'm driven by visible progress. I do just enough DB work to then do a little bit of coding so I can do something in the app. Basically giving my self little feature goals here and there.