Power circuit with several voltage regulators — design rules
As usual: it depends !

Always add decoupling caps at input and output of all LDOs !

A solution is to go down in voltage in steps:
input voltage => 5 V => LDO => 3.3 V => LDO 2.5 V

But if you have a lot of digital circuits on 3.3 V and you want the 2.5 V as clean as possible then it might be better to do:

input voltage => 5 V => LDO => 3.3 V

and a separate 

input voltage => 5 V => LDO => 2.5 V

It also depends on how much current is used in each supply, are all regulators linear regulators or are some switched ?

You mention something went wrong, it would help if you explained what did't work so we can focus on that.