My personal preference is the SNGs, and I usually start with those when looking to build a BR at any site.
At some sites, the SNGs are less friendly, either because the blinds rise too fast or because the standard of play is above average. In those cases, I will play a low stakes ring game (Pot Limit Holdem if available, since I find that a safer way to build from a low bankroll than No Limit - less variance) until I win the buyin for a tournament, then play the tourney. I find this is a very safe and secure way of building up.
My usual habit is to deposit $50 and build up to $200 before making any withdrawal. After that, I will withdraw $100 out of every $200 I win.
I never put more than 10 per cent of my BR into any one game (ie. $5 in the early stages).