If you employer matches your 401k contributions:

1. Invest in your 401k up to the amount to get the maximum match
2. Then invest in a Roth IRA if you are eligible
3. Then invest in your 401k again (no match)

If you employer does not match

1. Invest in a Roth IRA if you are eligible
2. Invest in your 401k

The situation is more complex if you are not eligible to contribute to a Roth IRA  with many contingencies that are best handled on a case by case basis.  Also, if your employer has a high cost 401k plan you may actually be better off investing some of your funds outside of your 401k in a regular taxable account once you have invested enough to receive the maximum 401k match.

The reason why Roth IRA contributions are a better bet for most people vs. a regular 401k contribution include:

1. Tax rates are likely to be higher than they are today in the future when you withdraw your 401k contributions.
2. You will have Required Minimum Distributions from a 401k plan at age 70-1/2.
3. Your heirs will required to take distributions from your 401k plan and pay taxes on them.  There are no required distributions from a Roth IRA and any distributions are tax free.