It all depends. As those above mentioned, if you bought a domain with existing content, you need to simply preserve the existing content until you're ready to go.
If it's a new domain, I recommend 2 things:
Create a landing page to sign up for more info. Give a description of what the site will be, and have a one-step signup form. Also link to...
Your site's blog. If this project is in any way about a product or a service or an app, you'll want to be putting out some content on occasion. So go ahead and install Wordpress at
http://www.mydomain.com/blog, and start blogging on topics that would be relevant to your target audience for the site (once it's finished). Grab an off-the-shelf free Wordpress template for now - you can always redesign later. (And make sure your landing page with the form is linked from every page on the blog.)
If you go this route, not only are you capturing potential future users on the homepage (and giving them some more info that can only help your SEO), but you're also getting a headstart on SEO by creating content that will be of value to you for as long as your site exists.