My first oft comes first, My second can fly, My third is deep, and some pronounce my last differently to others.
Hint:
I have more between the third and last
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Alphabets
First comes first
Letter A comes first
Second can fly
B -> Bee -> Can fly
Third is deep
C -> Sea -> Is deep
Last is pronounced differently
Z -> Zed -> Zee
Hint
More in between third and last -> D,E,F,G,H,I,J,K,L,M,N,O,P,Q,R,S,T,U,V,W,X,Y