In Terminator, which entity came first? Kyle Reese or John Connor?
In the continuity of the first film (which is the only one in which the time travel makes genuine sense), Kyle and John are part of a closed timelike loop, in which events cause one-another in an ultimately circular fashion. Kyle fathers John, then John sends Kyle back in time. There is no ultimate cause of the events, merely a consistent history.
On the other hand, if you mean which character existed earlier in the time stream (as viewed by observers who do not ever travel backwards through time), the Kyle comes first. He appears from the future, then fathers John before dying; John is not born until well after Kyle Reese has "left" the time stream (as it were).
If you want to know for the other movies, the answer is basically going to be the same, with Kyle going back to be John's father. This is complicated by the inconsistent mess of alternate timelines that might preclude giving a definitive answer to anything, but to the extent that any answer is going to make sense, it should be essentially the same as an answer based just on The Terminator.
If we disregard time-travel and just ask, which of the two was born first (measured by year of birth), then The Sarah Connor Chronocles suggests the answer is John Connor. [warning: spoilers ahead]
One part of the storyline has Kyle Reese's older brother coming back in time and joining up with them. One of the episodes has a scene in which John and Kyle's brother are sitting on a bench in a park, watching two kids playing. It soon becomes clear that the two kids are actually Kyle Reese and his brother! It is visually obvious that Kyle as a child is younger than John is at that time. Add to this the fact that John, Sarah, and Cameron all jumped forward a few years in the first episode (to get away from Cromartie), and it is clear that John must have been born quite a few years earlier than Kyle.