The classic advice is to add the oil/butter after the pan gets hot. From what I've read though, there's no real difference between the two techniques though, except in two circumstances.
If you're using a non-stick pan, always heat it with something on it, because of the fumes. Though I'd recommend dropping the Teflon and getting a cast iron pan.
If you're going to use very hot temperatures, you want the oil to be exposed to the heat for a minimal amount of time, so add the oil after the pan has heated.