The reason to disconnect the negative battery cable first is that if your wrench accidently touches grounded metal you are shorting ground to ground, so no problem. Once the negative cable is off, then removing the positive cable is safe since shorting it to metal doesn't complete the circuit without the negative connected. However, if you disconnect the positive cable first and your wrench grounds against something you have maximum unfused current flow through the wrench which WILL produce lots of sparks, but could potentially weld the wrench in place making it difficult to break the circuit. This could result in fire or even and explosion.
I have an uncle that years ago didn't follow this advice and his wedding ring made connection between the wrench and bare metal. It melted his wedding ring and he ended up with a serious burn. So, also another warning, remove rings and watches before working on your vehicle.