OK, Bert - I feel a quibble coming on.
If you're giving examples, you come up with all of them. Then you talk about the first. This is the first of all. Then you talk about the second. Out of all the examples, this one's the second, so it's the second of all.

There were five examples of my pet peeves in my previous post. The second (of all five) was "wreck havoc."