The two grounds should normally be connected together. The best place to do this is at the power supply output. They should only be joined in one place. Sometimes there is a benefit to make the connection through a ferrite bead if you notice that there is a lot of digital noise coupling through to the analog subsystem. Note that it is very difficult to give further advice because of the fact that the "cleaness" that you can acheive on the analog subsystem will be dependent more on your PC board layout than on the components you select. There are times when an analog subsystem must be very quiet and so it is necessary to make a completely separate power supply for the analog that does not share a ground connection. In these cases it is necessary to isolate the digital interfaces to the A/D converter using opto coupling techniques.

Hope this helps
Michael Karas