Plugging in a heavy load to a circuit causes arcing as the circuit is completed. Historically, this could damage wall outlets, plugs, adapters, and whatever was connected on the far end of plug (e.g. a computer). This would only happen when the device was in an "already on" condition, as classic devices used physical switches to connect the power supply to the motherboard. The classical advice was to plug in to a wall first for devices that might arc.
Modern devices have soft-switches and lots of protective circuitry, which is why arcing practically never happens and device damage is a lot less frequent than it was historically. The only practical time you might want to plug in to the wall first is if you're in a place that is known for power surges, but then again, you probably wouldn't want to have your device plugged directly into a unfiltered current to begin with (use a surge protector). In most practical cases, it doesn't matter which end you plug in first, but do use common sense.