How do I wire two Light and one switch with the hot comeing in at the first light then to light #2 then switch?

If your goal is to have the switch control the lights, you have to go to the switch first.

There are two ways to do this. First, using 14/2 or 12/2 ( 15 amps and 20 amps respectively) bring the power to the switch. Split the wire and cut the Black conductor. Then attach the black coming from the power source to the bottom of the switch and the other end of the new cut to the top of the switch. This allows the switch to control power to both lights.

Next create a pigtail at fixture #1. connect the Black from the switch to the Black from the fixture and the white from the source to the fixtures white. Also add a Black to the Black pigtail and a White to the White pigtail as the power source to feed light #2. At light 2 connect Black to Black and White to White. Make sure all ground wires are connected and you should be finished.

Switch loop is the second method. For this to work, you bring power to the first outlet. At this junction, connect the black wire from the source to the white wire from the switch. Place a small warp of black tape on the conductor to signify that it is a hot conductor, not a conductor. At the switch, again wrap a small amount of black tape around the white wire and connect it to the bottom switch terminal screw. Take the Black lead at the switch and connect one end to the top of terminal screw of the switch. At the fixture, connect the Black from the switch to the Black from the fixture. Connect the White from the fixture to the White from the Power Source. Also connect the conductors for the run to the second light into their respective colors, connect all grounds and you should be in business.