Always positive first then negative, and when you put them back on negative first
Actually it's Negative then Positive when removing the battery. Positive then Negative when hooking up a battery. You will get less sparks/arcing this way. You can just disconnect your Negative side only if your not removing your battery but wanna kill power.
This order holds true especially if your disconnecting something on the car with the battery still hooked up (amps/lights/etc).
Reason being is the Conventional vs Electron flow theories.
Someones explanation of the 2.
http://www.allaboutcircuits.com/textbook/direct-current/chpt-1/conventional-versus-electron-flow/
I could try to explain it in my own words for someone who can't grasp it but I can't say i'll do that good of a job.