Definitely power wash first, before you stain. Then at that point you have to decide what kind of stain/water seal combo you want to do.
The staining will keep the boards from greying, but stain alone doesn't offer quite as much protection as water seal does. And you'd probably need to stain every year, or maybe just every other year for a few years to really get it soaked in good and last quite a while. My next door neighbor is a professional house painter, and he told us to stain our deck every spring for 3 years, and then we're probably ok to just re-do it once every 5 years at that point. It's those initial few stainings that really soak into fresh wood.
Water sealing probably needs to be redone almost every year, and at the very least every OTHER year, it does wear off from both weather and foot traffic. Areas that aren't walked on (railings) might only need to be water sealed every other year, or maybe even every 3rd year, but areas of the deck that are walked on probably need it every year. You can buy stain/water seal combo products, and use those the first few years, and then just switch over to water seal only once you don't need to stain anymore.
All of that being said, some people do water seal only, and actually like the look of greying/weathered wood rather than stain, that's just a personal preference really. If you are water sealing every year, you don't really NEED to stain for additional protection, it's really just for looks at that point.
You'll also want to power-wash any year before you water seal.
Go buy a power washer now if you have a big deck