On the most basic level the most significant rule is that sharpening should be the last step in your processing and should be performed after resizing. However, you can take a more sophistocated approach if you wish, typically with three phases of sharpening. Some software will let you take the three step approach, some not. The steps are....
1. Capture Sharpening, to overcome softening effects of the AA filter covering the sensor;
2. Creative sharpening, targeted at specific areas of the image such as eyes and hair, while perhaps softening other areas such as background or skin;
3. Output sharpening, tailored to suit your output size and output medium.
The reason it is important to sharpen as the last step, after resizing, is that when you squeeze a huge 10 to 20 megapixel file down to about 0.5 megapixels for the web, for example, all the fine detail that you so painstakingly might have sharpened earlier tends to get crushed together, rendering your earlier efforts moot. You need to sharpen once you've downsized so that you can enhance the image as it finally looks for display.
There is a good example of the three sharpening stages here....
http://photography-on-the.net/forum/showthread.php?t=466333
If you're only going to sharpen once then do it at the end, just before saving.
If you prefer a talkthrough approach then take a look at this video from Canon....
http://www.usa.canon.com/dlc/controller?act=GetArticleAct&articleID=287&fromTips=1