I get this question a lot and here is my advice. If your goal is to burn calories then get your cardio in first and work hard. Whatever you have left use it on the weights. If your main goal is to tone then do the weights first. You're not hurting yourself doing it either way, but following this advice puts you more goal specific.
Link to blog: http://thefitdivas.typepad.com/my_weblog/2009/03/strength-or-cardio-which-one-comes-first.html