I would say SFX should come first, as I see them as more critical, but not everything in a game needs SFX (you can overdo them). There are plenty of games out there without background music (only SFX), and plenty that have neither SFX nor music (i.e. Minesweeper). Remember that game play comes first and the graphics (the “eye candy”), SFX and music (the “ear candy”) are all supplementary to that. They are there to “enhance” the experience, not to “be” the experience.
SFX provides extra feedback to the user, of an event, and music is there to help set the mood. Both enhance the experience in different ways.