The order of play is described in the Rules of Golf in Rule 10, but order of play is really more a matter of etiquette. Something to keep a gaggle of golfers from all rushing the tee at the same time; or to prevent one player from striking a ball just as another player is reaching the top of his backswing.
So while there's no penalty, you should do your best to follow the correct order of play (unless all players in a recreational match have agreed to "ready play").
(An exception in stroke play occurs in the event the rules committee determines that a group of competitors agreed to allow one of its members to play out of order in an attempt to give that player some kind of advantage. In that situation, all those players are disqualified. For an individual competitor, one not conspiring with fellow competitors, there is no penalty.)
There is no penalty in match play, either, but there is a proviso. A player who hits out of order in match play can have his or her shot cancelled by a competitor and be required to play the shot over, in the correct order.
The cancelled shot does not count as a stroke, and there is no penalty; the player simply replays the shot in the correct order.
