It usually depends on the detailing of the joint. The hard part is getting the two material to align. If the siding is recessed it will be obvious that the stone is a modern simulation of a stone wall which to has become a builder/developer cliche.

Are you using corner stones... ones that are L - shaped and wrap around the corner of the house. If so, I would think that the stone would go on first, and then the siding installers can trim the end pieces to fit snug against the ends of the stone, which will all be of varying lengths.
The use of corner pieces makes the illusion that the stone is not veneer and is of thick stone. Builders that cheap out and use the regular pieces of stone on corners should be called on it because it looks terrible.

We just went through this same ordeal! We had the stone installed first b/c the stone was onsite and the stone subs were ready to go (the siding was on order, but not in yet).
If I had it to do over again, I'd definitely have the Exterior TRIM & SIDING installed FIRST and then have the stone installed to fit to it. We used Eldorado Shadow Rock cultured stone (a more uneven jagged/rustic look) w/ the L shaped corner pieces, but since we had some elevation changes, there are some areas that I'm less than happy with where the trim and stone meet. We'll have to squeeze in some mortar in some areas to make it look better. If you MUST install the stone first, just remember to NOT make any elevation changes AT any CORNERS...USE all the L shape corner stone pieces and THEN step down or up if needed on the next wall. Hindsight is always 20/20....although it would've been nice if the stone subs could've mentioned that when we were laying out the chalk lines for the stone (guess they didn't think of that either). :-/

GOOD LUCK! :)