Unfortunately, it DOES matter which OS you install first. At least it was in my case twice.
Just had it last week with a friend of mine who got a copy of Jaguar. He asked me to help him install it. I suggested a clean install and therefore, after initializing the HD we started with OS X 10.2. It installed without any problems.
However, when we tried to install OS 9 thereafter, we ended up with having to initialize the HD again. The problem was that when booting from the OS 9 CD the HD was not recognized by OS 9 as it was formated by the OS X installer CD. I know, it should be compatible, but it wasn't. I had the same problem before when installing OS X 10.1 on my computer.
So, in the end, we installed OS 9 and afterwards installed OS X. Took us about 4 hours because of that problem.