There was only one monster on the board - a Gug, so I chose him. Then a couple more monsters came out, but Gug was in the front of the queue so he went first. Given that it sees itself as an explorer and it is closest to itself, does it attack itself? That's how I played it, and it was kind of funny to see this crazy creature destroy himself. Just wanted to verify this was the correct way to play it.
You said something that must be the guiding factor in this game: 'it was kind of funny to see..' - it was not intended to be played like that, but if you are still learning the game, and are not sure if the idea works? Go for the game experience, check rules later.