There's absoultely no rule regarding the sequence of such diagrams.
Sometimes, when the structure of the data and the behavior of your domain model is easily defined or well documented, creating the class diagrams first allow for clearer abstractions that aid in creating a sequence diagram that makes sense.
In other cases, when the nature of the domain model is unknown or unclear, it will make more sense to create a sequence diagram first, and then glean classes from that.
What I am sure of is that revisions of these diagrams will become concurrent with each other (e.g., sequence diagrams may reveal something that wasn't taken into account for in the class diagrams, and vice versa).
Likewise, after starting software development these diagrams may change yet again, as more intuitive, or more maintainable abstractions and designs reveal themselves whether via unit tests or user-experience testing and so on and so forth.
Never get enamoured with the idea that these diagrams are rigid in any way and thus requires a sequence in creation -- trust me, they won't be. If you treat them as rigid and infallible, you're shooting yourself in the foot AND tying one arm behind you in your software development effort.
UPDATE As reflected in the comments, if you're really lost as to what diagram to go first with, the Use Case Diagram would be very important as early as the requirements gathering phase.
Beyond that, what I wrote above applies.