At least in Illinois, if it is a car accident, exchange insurance information with the other driver(s), take photos of the cars and any injuries with your mobile phone, contact your insurance company as soon as possible.
If you are injured at work, report your injury to your supervisor immediately (preferably in writing) and get medical treatment immediately.
Contact An Attorney
Make sure you contact a lawyer experienced in handling either personal injury or workers' compensation matters as soon as possible. In Illinois, the law is extremely arcane and detailed and you should investigate the experience level of anyone you wish to have handle your case.
Remember that for the most part anything you say will be used against you and the more people you speak to the more chances there are to "misremember" a key point.
With the exception of obtaining insurance information and/or reporting the accident, your only other priority should be to get medical treatment.
Get Medical Treatment
The longer the "gap" between your injury and your medical treatment, the more likely it is that someone (an insurance carrier, an opposing attorney) will try to raise the "issue" either that you were not injured as severely as you claim or that your injuries did not occur in the accident you are claiming. This is not just in Illinois but a general observation.
While some of us have higher pain thresholds than others (no one ever told me not to run with a fractured pelvis for a year and a half!), the perception in this country and in the legal system is that failure to seek medical treatment for an injury leads to a conclusion that the injury wasn't that bad after all.
Do not seek treatment if you are not in pain but do not hesitate to seek treatment if you are!