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On-page optimisation is the critical first step, and I always make sure I get this completed before I do any more.

To use an analogy: you wouldn't advertise a store without having a premises, and stock, and staff. Likewise, you don't do off-page optimisation until you're sure that what you're directing people to is the best it can be.

The various responses from SEOMoz staff here are a pretty good example of why I'd consider a Pro subscription worth the money. The tools are great, but what compels be to stay is the community and the immediacy of responses to common questions or pitfalls that professionals and novices alike will encounter.