I believe this would depend on how the page is structured and the screen
reader being used.

Usually this is done using a table with the navigation items being in the
left cell.  Older readers had the annoying habit of reading left to right
across cells so for a two cell table you'd hear the first line of the first
cell then the first line of the second cell, the second line of the first
cell, the second line of the second cell and so on making the table pretty
difficult to understand.

More recent readers, and my experience is limited to JAWS, tend to be
smarter about tables and treat each cell as a unit so if you have a cell
with navigation on the left and the rest of the page in a cell to the right,
it would read all the navigation and then the body of the page.

Paul Chapin
Curricular Computing Specialist
Amherst College