Generally, but check your equipment instructions to be sure...
If the subwoofer input is an RCA jack or two, then pre-amp output or an amp's (or receiver's) monitor out or pre-out also with RCA jacks should be connected. (powered sub taking line level input)
If the subwoofer input is a set of screw terminals or binding posts, then an amp's speaker outputs should be connected. (unpowered sub taking speaker level input)
Unfortunatley in most cases if the amp subwoofer output is a set of screw terminals and the sub itself has only an RCA jack input, you may not connect the two this way without an attenuator in between (looks like a small box with a volume control knob).
Video hints:
http://members.aol.com/ajaynejr/video.htm