Hi,
I recommend installing vMA first. It's usually the first thing I setup when upgrading from a classic ESX environment to ESXi. Using the OVF makes installing it a no-brainer.
As noted, vMA is optional. You can do everything you need remotely using vCenter and/or SSH, or localy with the ESXi Direct Console User Interface (DCUI). However, it seems inevitable that shortly after installing your first ESXi server the question gets asked "I used to logon to the COS and run command X, how do I do that now that I'm on ESXi?". And the easy answer is to use the vCLI.
The real value I find with using the vCLI is (1) it's pretty much the same CLI I'm used to (has some new options for authentication, but commands are mostly the same), (2) I can run CLI commands against multiple ESX hosts at a time, and (3) it's very easy to check things quickly (espeically when working remote) as I don't have to open an RDP session to a desktop in the right subnet and startup the vSphere client. I just putty to the vMA host and run commands. Oh, and using it as a centralized syslog server is a great idea as well.
Hence, I recommend you install vMA first. Note, for sake of full disclosure I come from a UNIX background I tend to navigate toward the CLI and the vCLI/vMA is very UNIX like opposed to PowerShell.
HTH,
-Kyle
