An HTTP/1.1 server may return multiple challenges with a 401 (Authenticate) response, and each challenge may use a different scheme. The order of the challenges returned to the user agent is in the order that the server would prefer they be chosen. The server should order its challenges with the "most secure" authentication scheme first. A user agent should choose as the challenge to be made to the user the first one that the user agent understands.
When the server offers choices of authentication schemes using the WWW-Authenticate header, the "security" of the authentication is only as malicious user could capture the set of challenges and try to authenticate him/herself using the weakest of the authentication schemes. Thus, the ordering serves more to protect the user's credentials than the server's information.
A possible man-in-the-middle (MITM) attack would be to add a weak authentication scheme to the set of choices, hoping that the client will use one that exposes the user's credentials (e.g. password). For this reason, the client should always use the strongest scheme that it understands from the choices accepted.
An even better MITM attack would be to remove all offered choices, and to insert a challenge that requests Basic authentication. For this reason, user agents that are concerned about this kind of attack could remember the strongest authentication scheme ever requested by a server and produce a warning message that requires user confirmation before using a weaker one. A particularly insidious way to mount such a MITM attack would be to offer a "free" proxy caching service to gullible users.