It's possible that I was taught incorrectly. They told me to make the ground connections first.
But I'm always willing to learn...so why this way?
As others have said, it ensures that the only connection that can spark (unless there are some serious short circuits) takes place well away from both batteries.
Also, by connecting the positive to the dead battery first, and the positive of the good battery second, it eliminates the possibility that one battery could be completely connected while the other end of the cables was metaphorically flapping in the breeze. This eliminates the risk of accidental shock if the "loose" ends of the cable come in contact with anything.
The bad battery goes first because on the off chance that you somehow short the other end of the positive cable to ground before connecting it to the other battery, it doesn't matter nearly as much because the bad battery is already dead.
ZV