You should give your users the option of sorting by either one.
Some cultures and people use first names more, and so that is usually the name that they know when looking someone up. Others use last name more, and so they should be able to sort by that.
Telephone books sort by last name first, because there is more variation in last names, and because in business (more in the past) people would only use their initial and last name. So J.Smith would be tedious (if not impossible) to find if it were sorted by first name. It's bad enough by last name already.
There is no universal best choice, so if your are doing anything electronic, don't try to make it for people. If you are doing it on something static like paper, you need to base it on your audience and situation.
Edit: If the question is about defaults, I would still say the same thing. You should ask your users the first time they see it what format they would prefer.