At this point, I think everyone that's visiting this thread acknowledges what was printed first. But in my mind, it's:
Annual 14. Hey look... There's Gambit, a character who's not particularly integral to the story being published.
Xmen 266. Hey look.. It's Gambit again, in a story that was pretty clearly written to be an introduction to the character if the publishing schedule of one annual per week during the summer didn't necessitate publishing the annual before the intro that serves as a better introduction.
Again, I have one copy of 266, which isn't leaving my collection any time soon. I have several copies of the annual, two of which are coming back from CGC soon. It's in my financial best interest for people to value the annual more, but IMO 266 is still the more desirable of the two, despite the fact that the annual was published first, and I would imagine has the lower print run.
... And significantly lower 9.8s on the census