Semantically, H1 should come before H2 in a document. H2 is a sub-element of H1.
I would suggest you to use the following markup:
<h1><a>Main title of your site</a></h1>
<h2>Sidebar</h2>
<h3>Sidebar Headline 1</h3>
<h3>Sidebar Headline 2</h3>
....
<h2>Main content</h2>
<h3>Headline 1</h3>
<h3>Headline 2</h3>
...
Note: The best way is to have the sidebar after the content in your HTML and use CSS to position it where you want.