Yes it does. First, set any thoughts of sparks causing an explosion aside. That's a *very* low probability occurrence as compared to the real reason. Unfortunately, a lot of people focus on the sparks issue and don't mention the real reason. And please note that the real reason also involves sparks.
The real reason has been mentioned earlier, but apparently needs to be repeated, maybe with more detail, so here goes. The real reason: there is a huge area of metal in the engine compartment, the car bumpers and fenders (if metal) etc. It is very easy to inadvertently touch the bare end of a jumper cable to that bare metal. If the negative jumper cable is connected first, and you're connecting the positive cable to the bad battery, you'll get a short circuit with that inadvertent touch, powerful sparks, a possible tack weld of the jumper cable, and a very bad day. (Possible fire, burns, dead battery, ruined cables, etc.)
If you connect the positive jumper first, the end of the cable CANNOT cause a short when it touches ANY bare metal in the car receiving the jump.
The proper procedure:
1 Put the cars close together but NOT touching. 2 Stretch the cable out so the bare positive end is away from the car with the good battery. 3 Connect the positive cable to the positive of the good battery 4 Connect the other end of the positive cable to the positive of the bad battery. 5 Connect the negative cable to the good battery 6 Connect the other end to the other car battery negative, or to the other car engine compartment metal where you can get a good solid mechanical clamping spot. 7 When finished do the above in reverse orderThe above recognizes - and mitigates - the possibility of sparks, but focuses on the real potential hazard: short circuit. I wish all this talk of exploding hydrogen gas had never appeared, because it hides the extremely more probable event of a short circuit, which, of itself, creates a more powerful spark than connecting (or disconnecting) a jumper cable to a battery.
Ed