It depends how much we're talking about? $1? $100? $1,000? $1,000,000? I guess let's say for simplicity's sake that I won a nice $10,000,000. The first thing I would do would be to pay off my house which is the largest debt I'm currently in. The next thing I'd do would be to hire a Financial Advisor.
I'd want my money to work for me, so I'd likely invest in real estate/properties to rent out to people, such as homes and small apartment complexes. I'd also, with the assistant if my Financial Advisor, invest in stocks. This way I'd be set for life, because instead of working for my money, my money would be working for me. Depending on my success, down the road I'd more than likely purchase a couple of small businesses as well.
But of course I'd spoil my doggy girls to no end! They'd get the finest things in life!