Most user-facing connectors have a metal shield around them connected to frame ground. The idea is that any ESD shock goes safely through this first instead of to a sensitive data line.
Connection-sequencing ensures that the ground and power is connected before data lines are. If you look inside a cable-side USB connector, you'll see that the inner two wires (data) are recessed a little so that the power connectors go first. A device that is connected without power can (through its ESD protection circuit) attempt to draw power from data lines... this can cause damage because most data lines can't supply the current to power the entire device.