The main consideration for account-wise allocation is taxes.
http://www.bogleheads.org/wiki/Principles_of_tax-efficient_fund_placementREITS and bonds are generally taxed higher than stocks, so you'd want to prioritize putting them in tax free/deferred accounts.
The other consideration is fund fees: For example, if you're going with vanguard mutual funds, you want to get to $10,000 as quickly as possible for a fund in order to get Admiral shares. Having 5000 in a taxable and 5000 in an IRA of the same fund means you're paying higher fees than having all 10,000 in one place. Of course, it's not always feasible to make the math add up perfectly here due to annual contribution limits. Alternatively you can use ETFs until you get $10,000 of the mutual fund version or just stick with ETFs to avoid this problem
Other than that it doesn't matter as long as the weighting of all your holdings across all your accounts match your target allocation.