The reasoning behind turning on the receiver first and then the amp is that if the amp is turned on first there is no signal for it to amplify and you sometimes get a loud thump in the speakers. Turning on the receiver first ensures that there is a signal for the amp by the time it is up and running.
Many receivers delay turn on or slowly ramp up the volume when they are first powered on (that tell-tale 'click' sound a few seconds after powering on). Some amps do as well. If you don't have a problem with feedback in the speakers when the amp is turned on first, then you don't have to follow the rule.
Edit: Typing at the same time as jcPanny.