This item is from the Yet Another Enhanced IDE/Fast-ATA/ATA-2 FAQ, by John Wehman and Peter den Haan with numerous contributions by others. (v1.92).
Not much. If you have only one drive on the cable, it is best to put it at the very end, especially when you're using any of the faster modes. For two devices, it doesn't matter where you put the master and the slave, or which end of the cable you plug into the controller. Just take care that you plug them in the right way: the red wire is supposed to correspond to pin 1.
When Plug'n'Play ATA arrives the Cable Select (CS) setting will be used, and all of this will change. Some name brand machines may already employ a similar setup.