You are supposed to connect the negative last, to the chassis and not the battery post. The traditional reason for that was that it can spark if the other battery is really dead and starts drawing a high charging current. Old-style non-sealed batteries can produce hydrogen gas leaking out, and there was some thought that the spark might ignite it. Modern sealed batteries don't leak any significant gas, but if there's going to be a spark, better to have it on a chassis bolt far from anything potentially flammable.
And don't leave the donor car engine running while trying to jump-start the other car. It doesn't contribute enough power to help, and it puts a heavy load on your alternator for a few seconds.