No specific rules... do what works for you.
I do the longer sides first. If you do, you need less fabric if cutting lengthwise (which I normally do). If you scroll down on Bonnie Hunter's Border Tips page, there is a sketch showing the difference. I guess it's supposed to be more visually appealing.
Also, check out her suggestions on measuring/cutting borders. I've been doing mine her way since I read it and never have wavy borders.
http://quiltville.blogspot.com/2005/...der-hints.html