According to your specific layering situation, I would think this answer would differ. Before I picked up my Pinnacle 5 mil, I had a well-made, but fairly cheap(Evo) 3mm suit. When I needed additional insulation, I used a 2 mil hooded vest. I tried it on the inside and outside. I found that, for me, I was warmer with the vest on the inside. In my siuation, it was because, although my wetsuit fit well, it did not have a very good neck seal. Wearing it over the suit, I felt the vest didn't fit as well. But the vest fits me very well, and the hood seals well around the face. When I wear it under the wetsuit, it seals the neck. I stay very warm in it. On the flipside, one of my buddies has a zippered vest with no hood, and he wears it over the wetsuit. His vest zips in the front, so water has to come around 2 zippers to get in.
I think, like most things in life, it is a matter of preference and comfort.