If you give them a number first, that will set the maximum they will offer. If they give you a number first, that is the minimum they expect to pay.
If it is a recruiter, ask him for the client's pay range and decide if you want to play. If he is unable to give you this information, tell him to move along as there is nothing to see here since he has nothing to show.
It is best to do some research to find out wage ranges for the job you are looking at. Try this for a start:
http://salary.monster.com/