If I'm making it in a mug, the milk goes in after. But if you're making it in a teapot, you're meant to put the milk into the cup first (comes from the days of fragile china cups which would break if too much heat was applied).
The traditional way is to put the milk in first, as in the olden days they would be able to see if anything was floating in it or it had gone off etc. and then put the water in, but nowadays it's easier to do the opposite for me it's teabag > water > milk
Edit: my grandparents are very traditional so they do it the other way around when we see them, seems so odd!
I heard putting the milk in causes fats to stick to the teabag and prevents the tea from brewing properly or something. The best way to do it is put the tea bag in the mug, pour boiling water in, leave for 3-5 mins, remove the teabag without squeezing (as this squeezes tanins out and makes the tea astringent) then pour in the milk.