I am wondering if the order is important, which do I turn off first? The Atari ST computer or the external hard drive attached to it? It is on an SCSI adapter.
The order of switching should be relatively arbitrary - After all, there were Ataris around (like the Falcon or ST/E) that didn't have a separate power switch for the hard disk and where it was relatively random what stopped first.
But, if in doubt, ask the manual. The Atari Megafile manual says the following:
(I'm especially fond of the "...when the whirring stops..." part - My Megafile 40 never stopped whirring :) )
According to this (a pity that they don't give a reason), you should power off the disk last.