Make-up is like art. There are always going to be different ways to get different looks.
Putting the eyeliner on before allows you to blend it into the rest of your lid with shadow. Remember to let the liner set before applying shadow.
Putting the eyeline on after is if you want a dramatic effect, and the line to be noticable. No room for mistakes with this method.
I put my liner on before my shadow because I don't have an even hand when applying my own make-up. It allows me to blend so that it looks even. (I might just be a perfectionist, and can't stand it when I think it looks uneven
LOL)