My own preference is to swap that around a bit. After Nightmare Pickaxe, I tend to go:
Meteorite
Dungeon
Jungle (optional)
Hellstone
Hard Mode
I find that a full set of Meteorite Armor + the Space Gun makes short work of Skeletron (boosted magic damage and unlimited shots), and I've found that the enemies in the dungeon tend to be easier than the Jungle ones.
Once I've got some of the dungeon goodies (the sword's really the only thing I use a lot from there, though), I might scavenge the Jungle for stuff to make the better grappling hook, but I find that it's really not necessary. I actually don't think I've ever managed to even complete a set of the Jungle armor, as I tend to have the worst time finding gemstones.
The funny thing is is that I eventually ended up using my full Meteorite gear to kill the Wall of Flesh, so I could have actually gone straight to the Underworld and done it. I just made sure to brew a nice combination of potions (ironskin, featherfall, thorns, and regeneration) to make moving around and general defense better.