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You always want to connect the positive cable first if you have a car with negative ground. (Some older cars used to have a positive ground then you would do the opposite.)
The reason you want to connect the negative cable last is that if you attach it first and then while you're connecting the positive side your wrench hits something grounded you can get ready to watch the sparks fly. Some batteries when being charged can emit hydrogen gas and gas and sparks don't mix very well.