I personally heat up the pan first, then put the oil in and after it's heated up add the ingredients. I go with the line of reasoning that doing it this way gives the oil less time to burn, thinking that if you do it the other way, by the time the pan and oil has heated up, the oil could already be starting to burn.
I've never experimented, but I think this is more of an issue with electric stoves since you can modulate the heat more quickly with gas, ie turn it off if the oil's starting to smoke.
--Answered by Scivitri
Always heat the oil with the pan.
Heating pans dry damages the pans (especially non-stick ones). Also, there are no warning signs that the pan is hot when you set something else on it or bump into it.
Adding cold ingredients to hot pans also damages the pan, and can scald the ingredients. Even oil. If you guessed too hot, you can damage several things at once, including the meal.
Oil doesn't significantly degrade through normal heating, and certainly not in a single heat cycle getting up to saute temperatures. If the oil starts smoking (with nothing else in it) yes it's started to degrade but you're also a bit too warm.
Tip: Add some minced garlic or scallions to the oil as it heats. Gives you a nice base for sauteing, and lets you know the oil is up to temperature as they start to cook.