I've always heard to do the rear first.

On a related note, if you do the rear first, report back and let us know if the rear makes a huge difference. This point has been debated and from what I understand, a rear locker will get you through 90% of what a dual locked vehicle will do (or locked and LSD).

I have noticed that the only time I'm using the front locker on the Rubicon is when one tire in the rear is hanging and a front tire is lifted on a climb.

I have a pretty good rear LSD now and it takes me quite far.