That is open to debate, and sometimes where you are at and what you are trying to do.
For me, oil to air cooler first. If that didn't shed the heat (low speeds, not enough airflow) the in radiator is the safety cooler to catch the excess heat.
I also plumb my coolers for a bottom inlet and top outlet. The purpose of this is to prevent trapped air bubbles. Some coolers can catch an air pocket and the oil falls to the bottom without going through a lot of the cooler. The core only cools what has oil going through it. Fill the glass from the bottom and as it fills and overflows the air bubbles are pushed out. Not all designs of coolers have this issue, but I play it safe if at all possible and treat everything like it could.
There is also a theory that radiator last can put some heat in the transmission in very cold weather. Maybe. Again, depends. If you are doing cardboard in front of the radiator to bring the heat up, more so. Monster radiator and all thermal regulation via thermostat, doubtful. The water leaving will be nearly as cold as the air.