It really depends on the amount of money you are talking about. That being said, according to the Vanguard Diehards here is a list of securities in approximate order of their tax-efficiency. (Least tax-efficient at the top.):
Hi-Yield bonds
TIPS
Taxable bonds
REIT stocks
Stock trading accounts
Small-Value stocks
Small-Cap stocks
Large Value stocks
International stocks
Large Growth stocks
Most stock index funds
Tax-Managed funds
EE and I-Bonds
Tax-Exempt bonds
personally, I have a great deal of my portfolio in a non tax advantaged account. I keep Hi-Yield bonds, TIPS, Taxable bonds, REIT Index fund, and small caps in my 401K and IRA's - the rest goes to my regular account.
hope that helps.