Depends upon what formulation I'm using and whether it's a lighter look or full face. As I use a cream based, pink toned one to try to obscure the bottomless chasm of my soulless existence dark circles under my eyes, if I did that after a lighter foundation or BB, it would come off, so it goes on first. If I use a heavy coverage foundation, I can get away with a more liquid concealer which goes on top.
Unless anybody has a better idea (I have seriously considered just giving up and smearing red lipstick underneath)?