Your manual should list which one to use its usually the 1st slot. The reason is that sometimes the bandwidth of the second slot will drop to x8 as it thinks you are using Crossfire/sli when it detects the card in the second slot.
If you have a Motherboard that has 2x full X16 slots then i dont think(not 100% sure) it makes much differamce. I have seen people use the second slot on such boards due to space requirements of the other hardware.
Neither mobo nor gpu docs state a preference. Gigabyte says if you Crossfire two cards you should plug the monitor into the card in slot 1, but that's it. I read through the hardcopy manual and searched the PDF version before posting the question.
My normal default reaction would be to use slot 1, but if I put the gpu in slot 2 I get more separation from the cpu and X58 and would theoretically see better cooling.