Do you heat the pan first, then add oil? Or put the oil in and heat up with the pan?
The typical rule of thumb is that if it's a non-stick pan you do add a little oil to the pan first before heating.  Most manufacturers usually recommend this to extend the life of the non-stick coating.

For regular pans (those without non-stick coating) you should heat them dry until you can feel the heat radiating from the surface when your hand is held about 6-inches above the bottom.  Add your oil at this point.  You'll actually need to use less oil because the same amount will spread across a greater surface area due to its decreased viscosity as it heats.  Plus, your oil will heat up instantly and when you add your food it's less inclined to stick.  Most people get impatient waiting for pans to heat (and in general) and this also ensures that the food isn't going into a pan with oil that's cold or not hot enough.  When cold oil goes into a pan and cold food ends up on top of it you'll end up with one big sticky mess.  As for adding oil before heating the pan, the longer fats heat without anything else in the pan, the quicker they'll break down and burn.