If you're the kind of person who likes to do cardio on the same days you lift, I recommend you hit the weights before doing your cardio sesh.
Working in a gym, I most often see folks do it the other way around. They often do a cardio warm up of some kind and then just continue on with 30 minutes of solid cardio. They then move onto the weights.
This, in most instances, is a mistake. You want to give weight training your all and hit it while you're fresh and energetic. Also, lifting is technical and rather complicated. If you're already fatigued from cardio you're more likely to injure yourself and not get the most out of weight training.
Also, there's some evidence that doing cardio after weights burns more calories.
Finally, don't forget to stretch.