It really doesn't matter - the choice of scale isn't going to affect anything. There's no magic speed building scale.

Like he said, play them all and eventually speed will come to you.
Alright well that is what I shall do then. But one more question, when playing scales like this: http://www.all-guitar-chords.com/guitar_scales.php?qqq=FULL&scch=A&scchnam=Major&get2=Get

I know I start on the low E then do I play all the notes on the low E string or go down the strings and play all the notes up to the forth fret , then all the notes in between the 4th and 8th fret and so on?
That's why we have "positions"... they keep your hand in one general spot on the fretboard relative to either end. Just play what's within reach, move on to the next string and play what's within reach, move on to the next string... etc.

You can then learn a higher position and get your fingers used to a different set of movements. You're playing the same scale only at a different point on the neck. This is not to be confused with modes...

Looking for my India/Django.
Do you suggest memorizing every scale position for every scale, or memorizing all the notes on the neck and then memorizing like the 1 2 3 4 5 6 7 method?