1. Leaving the side seam of the bodice and underarm seam of the sleeve open, sew the sleeve cap to the armscye (right sides together). Then stitch the side seam and and underarm seam all in one go, lining up the armscye seam.
2. Assemble the side seam of the bodice and underarm seam of the sleeve. With bodice inside out, and sleeve right side out, place sleeve inside bodice and sew around the armscye, lining up the side seam with the underarm seam.
I always thought that it was just personal preference that would make you choose one method over the other, but there is actually a difference. Basically, the seam that you sew last ends up being the dominant seam and can subtly affect the way a garment falls. Choosing method #1 is appropriate in a work shirt or t-shirt (with a flatter sleeve cap) where a full range of motion is required. Method #2 is used for tailored jackets and closer fitting tops (with a higher cap height).
The same principle works for pants. When I first learned to sew, I would sew the crotch seams of the front and back first, then the outside seams and then the inseam in one line. We recently sewed shorts in school and the instructions were just the opposite. Here we sewed the outseam and inseam of each leg, then - like method #2 of the sleeve construction - we were directed to place one leg inside the other and sew the crotch seam from front to back, lining up the inseam along the way. This makes the pants "stand up straight" if you will.

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UPDATE:
The lovely and talented Kathleen from Fashion Incubator has illustrated this point rather dramatically when applied to linings and facings. I strongly suggest you check out her post here.
The lovely and talented Kathleen from Fashion Incubator has illustrated this point rather dramatically when applied to linings and facings. I strongly suggest you check out her post here.