Inferring mathematical models of sensory processing systems directly from input-output observations, while making the fewest assumptions about the model equations and the types of measurements available, is still a major issue in computational neuroscience. This letter introduces two new approaches for identifying sensory circuit models consisting of linear and nonlinear filters in series with spiking neuron models, based only on the sampled analog input to the filter and the recorded spike train output of the spiking neuron. For an ideal integrate-and-fire neuron model, the first algorithm can identify the spiking neuron parameters as well as the structure and parameters of an arbitrary nonlinear filter connected to it. The second algorithm can identify the parameters of the more general leaky integrate-and-fire spiking neuron model, as well as the parameters of an arbitrary linear filter connected to it. Numerical studies involving simulated and real experimental recordings are used to demonstrate the applicability and evaluate the performance of the proposed algorithms.