I sharpen all my images twice, sometimes three times. The first is right after I open them. If I know I'll be working on the pixels in Photoshop, I'll do the global parametric image editing (PIE) in Lightroom and wait to do the first sharpening after I open the image in Photoshop. If I know I won't be using Photoshop, I'll do the first sharpening right in Lightroom. This first sharpening step is called "capture sharpening" and restores sharpness that was lost when my camera converted photons to pixels.
If localized areas of the image would benefit from sharpening, such as eyes in a portrait or flowers in a landscape, I'll sharpen with a brush either in Lightroom or in Photoshop. This "creative sharpening" draws attention to specific places in the image in the same way brightening up specific areas of a picture would.
The last step in sharpening is at the end of the workflow. "Output sharpening" prepares the image for printing. Since I always print out of Lightroom, I use the sharpening options provided in the Print Module of Lightroom. The latest version of Lightroom, Lightroom 3, has a particularly effective algorithm for this task.
John Paul Caponigro has an informative post on his blog on this subject. It's the place to start if you are interested in learning more on this topic.