Multicolumn index and performance
Answer

Since you refer to the website use-the-index-luke.com, consider the chapter:

Use The Index, Luke › The Where Clause › Searching For Ranges › Greater, Less and BETWEEN

It has an example that matches your situation perfectly (two-column index, one is tested for equality, the other for range), explains (with more of those  nice index graphics) why @ypercube's advice is accurate and sums it up:

Rule of thumb: index for equality first — then for ranges.


Also good for just one column?

What to do for queries on just one column seems to be clear. More details and benchmarks concerning that under these related question:


Working of indexes in PostgreSQL  
Is a composite index also good for queries on the first field?


Less selective column first?

Apart from that, what if you have only equality conditions for both columns?  

It doesn't matter. Put the column first that is more likely to receive conditions of its own, which actually matters.

Consider this demo, or reproduce it yourself. I create a simple table of two columns with 100k rows. One with very few, the other one with lots of distinct values:

CREATE TEMP TABLE t AS
SELECT (random() * 10000)::int AS lots
     , (random() * 4)::int     AS few
FROM generate_series (1, 100000);

DELETE FROM t WHERE random() &gt; 0.9;  -- create some dead tuples, more "real-life"

ANALYZE t;

SELECT count(distinct lots)   -- 9999
     , count(distinct few)    --    5
FROM   t;


Query:

SELECT *
FROM   t
WHERE  lots = 2345
AND    few = 2;


EXPLAIN ANALYZE output (Best of 10 to exclude caching effects):


Seq Scan on t  (cost=0.00..5840.84 rows=2 width=8)
               (actual time=5.646..15.535 rows=2 loops=1)
  Filter: ((lots = 2345) AND (few = 2))
  Buffers: local hit=443
Total runtime: 15.557 ms


Add index, retest:

CREATE INDEX t_lf_idx ON t(lots, few);

Index Scan using t_lf_idx on t  (cost=0.00..3.76 rows=2 width=8)
                                (actual time=0.008..0.011 rows=2 loops=1)
  Index Cond: ((lots = 2345) AND (few = 2))
  Buffers: local hit=4
Total runtime: 0.027 ms

Add other index, retest:

DROP INDEX t_lf_idx;
CREATE INDEX t_fl_idx  ON t(few, lots);

Index Scan using t_fl_idx on t  (cost=0.00..3.74 rows=2 width=8)
                                (actual time=0.007..0.011 rows=2 loops=1)
  Index Cond: ((few = 2) AND (lots = 2345))
  Buffers: local hit=4
Total runtime: 0.027 ms