The BIOS tells the computer what components are connected to it. This is always checked first. Without the BIOS, your computer wouldn't know that it has a HD to load the OS off of.
Most newer OS's will load into registry settings, information about larger HDs (info for drives larger than about 130GB, because the BIOS will only recognize the first 4GB of the drive only, depending on how old it is.) This registry info generally is only used for HDs though, and maybe more advanced GPU drivers and such.
