I first published this tip in 2002. It's so ingrained in my sewing nature that I don't even think about it when making a garment; I just do it.
When working with a pattern that calls for a lining, I construct the lining first. This is especially true if the lining is made from the same pattern pieces as the garment itself, thought it's also a good thing to do with any lined garment.
There are several reasons to do this. First, when I am making up a pattern, once I get through the fashion fabric, the lining becomes *really boring*, and I am tempted to cut corners. By making the lining first, I avoid the feeling of "lining fatigue".
Second, and most importantly, by making the lining before setting shears or rotary cutter to fabric, I can check my fit, and use the lining as a faux toile or muslin. It's not meant to replace a fitting toile, but it allows you to tweak fit and do some fine tuning before working on the outer garment fabric. You can then transfer any adjustments with a minimum of hassle.
Third, it helps me work out construction issues (again, à la toile) before I start working on the outer shell. Here's an example of a jacket that I made last fall. I made the lining first, and attached it to the facing, then I made the outer shell.
It gives me a little psychological boost to make my garments in this order, so myu projects feel like they go quicker. Try it and see what you think!