Flowchart for wordpress loading sequence.

There is also these rather in-depth explanation found at,
Part 1
http://theme.fm/2011/09/wordpress-internals-how-wordpress-boots-up-2315/
Part 2

http://theme.fm/2011/09/wordpress-internals-how-wordpress-boots-up-part-2-2437/
Which also includes some diagrams/flowcharts.

This is also just the start of understanding the WordPress initialization process to which also should include information about the template hierarchy, as well as inspecting which hooks are fired on which pages and when. Combined together you can develop a pretty deep understanding of what's going on and where!

Or this flow chart from Rarst as seen in this question

Run your own backtraces....

Want to see what actions get fired during a request? Take a look at this plugin by Toscho,

Want to see what's hooked and where with what priority? Take a look at this plugin by Rarst,

Very handy for when wanting to know where internal and custom hooks are within the priority chain.

And there's also this plugin by Kaiser,

TEMPLATE HIERARCHY

You can also interact with this diagram. Clicking the image will take you directly the Theme Handbook by WordPress for more information.