Wurm,
asylum is first, followed by the underdark.
spoilers
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if you leave Yoshi behind when your party heads to spellhold, he dies when you return to the copper coronet in chapter 6 (after escaping the underdark)
the fish city is also available between spellhold and underdark but not mandatory - you get some interesting goodies though and meet possibly the funniest beasty in the game
Kez