Solder through-hole or surface-mount components first?
As tomnexus said, it is always best to solder the largest components last. Most of the time this means that the surface mounted devices should be soldered first. Otherwise maneuverability is significantly decreased, trying to navigate around large components to solder the smaller ones.

The other reason I, personally, solder surface mount components first is because I use a reflow oven--I don't want the solder on thru-hole components to melt while reflowing the solder on the SMDs. I put the whole board in the oven with the solder paste and the SMDs, reflow, let cool, then do the thru-hole components with my iron. I wouldn't recommend doing it any other way.