This is an interesting and difficult one, and depends on the ego of the supervisor. Theoretically, the order should be in terms of who has contributed the most, meaning that the vast majority of papers arising from PhDs should have the student as first author.
However this is not always the case - I know of several friends who have bemoaned the fact that their supervisor always comes first, in spite having done very little. I personally have always been lucky, my supervisors actually said that I should just put my own name on if they hadn't done anything (maybe they didn't want to be associated with my terrible writing! :lol:)