dude. come on.
http://en.wikipedia.org/wiki/Primer_(paint)
google that ish.
depends on how thorough you want to be. sand between coats of primer, and sand very well before painting. the sanding makes for a smoother, more even surface, as well as acting as an abrasive on the surface, and giving a little more surface area. (same reason you scuff up a tube before patching it) helps the paint get all up on there.
edit: just make sure to allow all coats of paint to thoroughly dry before applying new coats. helps everything set up way better.