Depends on many things, like how old you are and your job.
The first thing you should always do is pay off high interest debts that you may have.
Second, you need an emergency fund stashed away somewhere in a savings account made up of 6-12 months worth of salary that you don't touch until you become unemployed or something.
Third, max your employer's matching 401k plan. Every year I toss 18k into my 401k and my employer gives me $8.5k. It's basically free money. Afterwards you should always max out your Roth IRA account. Which is currently $5.5k.
Fourth, meet a financial advisor at Vanguard or Charles Schwab and toss whatever you have left to spare in an index fund. The stock market has always given the best return over time and the best place to put money you don't necessarily need at present.
But in the end nothing gives a better return on investment than your education. It's something quite IMPORTANT, so make sure you know what you're doing and not getting some dumb degree at a crappy institution.