Where should a static const data member be defined?

I have a class

class foo {
public:
   foo();
   foo( int );
private:
   static const string s;
};

Where is the best place to initialize the string s in the source file?

Anywhere in one compilation unit (usually a .cpp file) would do:

foo.h

class foo {
    static const string s; // Can never be initialized here.
    static const char* cs; // Same with C strings.

    static const int i = 3; // Integral types can be initialized here (*)...
    static const int j; //     ... OR in cpp.
};

foo.cpp

#include "foo.h"
const string foo::s = "foo string";
const char* foo::cs = "foo C string";
// No definition for i. (*)
const int foo::j = 4;

(*) According to the standards you must define i outside of the class definition (like j is) if it is used in code other than just integral constant expressions. See David's comment below for details.