It really depends on the mission, my army and the opponents.
Going first lets you pick side, and shoot first, while going second, you know where the enemy is and can deploy to counter it, and you also get to seize the initiaive, which isnt to be overlooked.
The most important thing is that the guy going second has the last turn, which is really big. Making that last push for objectives, or overextending to get those last killpoints.
As a Space wolf player:
I want first if: I need to cripple the enemy force, or the board is really bad and I "need" a given side, or if my firepower can roflstomp a bad list :3
I want second if: The opponent has little firepower, it is a hard objective game or killpoints wjere last turn will be really usefull, or if I want to reserve or counter a reserve army (eldar especially comes to mind).
I personally preffer second turn, as I can dictate the game due to having last turn.
As said, it depends on the situasion. Some people say that "first turn = win", which is wrong if you play with a good army list. A list that can't stand a round of guard shooting when they can setup in cover as they want, isn't a good list ;)
Carry The Emperors Will as your torch!