Mosy people here have always recommended doing squats first since they are usually the heaviest and most compound exercise. I prefer to do them last since they take so much out of me. Here is an interesting blurb from the Dr. Squat September newsletter:
Order of Exercise
A common question that newbies ask is what exercise should I do first. Conventional Wisdom says, “SQUATS!” Well… Hold on a minute! Researchers studied 9 subjects who engaged in whole body workouts. In one protocol, squats were first, in the other, they were last. When squats were done first, it was found they could complete more reps at loads of 85%. However, peak power levels where higher when they were done last. Researchers noted the results of higher peak power levels at the end of a full body workout may be due to “postactivation potentiation”. Doc and I have talked about this before during workouts, as well as on his Q&A board. We referred to it as priming.
So the question remains when should squats be done? The research doesn’t give a definite answer, only some things to think about.
Here is a reference to the research report for the scientifically inclined:
Spreuwenberg, L.P.B., W.J. Kraemer, B.A. Spiering, J.S. Volek, D.L. Hatfield, R. Silvestre, J.L. Vingren, M.S. Fragala, K. Häkkinen, R.U. Newton, C.M. Maresh, and S.J. Fleck. Influence of exercise order in a resistance-training exercise session. J. Strength Cond. Res. 20(1):141–144. 2006
Order of Exercise
A common question that newbies ask is what exercise should I do first. Conventional Wisdom says, “SQUATS!” Well… Hold on a minute! Researchers studied 9 subjects who engaged in whole body workouts. In one protocol, squats were first, in the other, they were last. When squats were done first, it was found they could complete more reps at loads of 85%. However, peak power levels where higher when they were done last. Researchers noted the results of higher peak power levels at the end of a full body workout may be due to “postactivation potentiation”. Doc and I have talked about this before during workouts, as well as on his Q&A board. We referred to it as priming.
So the question remains when should squats be done? The research doesn’t give a definite answer, only some things to think about.

Here is a reference to the research report for the scientifically inclined:

Spreuwenberg, L.P.B., W.J. Kraemer, B.A. Spiering, J.S. Volek, D.L. Hatfield, R. Silvestre, J.L. Vingren, M.S. Fragala, K. Häkkinen, R.U. Newton, C.M. Maresh, and S.J. Fleck. Influence of exercise order in a resistance-training exercise session. J. Strength Cond. Res. 20(1):141–144. 2006