Worker Role Call Order:

WaWorkerHost process is started.

1. Worker Role assembly is loaded and surfed for a class that derives from RoleEntryPoint.  This class is instantiated.
2. RoleEntryPoint.OnStart() is called.
3. RoleEntryPoint.Run() is called. 
4. If the RoleEntryPoint.Run() method exits, the RoleEntryPoint.OnStop() method is called .
5. WaWorkerHost process is stopped. The role will recycle and startup again.

Web Role Call Order:

1. WaWebHost process is started.
2. Hostable Web Core is activated.
3. Web role assembly is loaded and RoleEntryPoint.OnStart() is called.
4. Global.Application_Start() is called.
5. The web application runs
6. Global.Application_End() is called.
7. RoleEntryPoint.OnStop() is called.
8. Hostable Web Core is deactivated.
9. WaWebHost process is stopped.

For Further Reference:

http://blogs.msdn.com/jnak/archive/2010/02/11/windows-azure-roleentrypoint-method-call-order.aspx

Tinu, O