Depends. Do I live alone or with family?
Say I lived alone but still had my cats, I'd make sure they made it out. If the fire isn't too bad yet, I'm making a run to the office, breaking a window and tossing my transformers collection and my CD collection the fuck out. Unfortunately they'd likely get broken due to my rock yard. Wish I had grass...
With family though, daughter and fiancé, then the cats. Hopefully they'll know to run out the door, cause they general are curious but afraid to go outside.
Just me, no cats, fire is too big, then shoes wallet, phone (AND CHARGER!) and keys.
It's hard to really plot such a scenario because of how life threatening it is. The unfortunate truth is pets are usually the ones that don't make it out, and although I see my cats as children, I have to put my daughter and fiancé before them. And of course, although it'll suck huge amounts of wang, I can't even think of such trivial yet sentimental things as a toy or CD collection.