Broadly speaking Hal is right. Let me try to make it a bit more transparent if you don't mind. The 1st derivative of the Gibbs free-energy of the system w.r.t T, at constant P, is the entropy of the system, while the derivative w.r.t P, at constant T, is the volume. If these quantities are discontinuous at the CP (critical point,) the phase transition is said to be first order, because of the singularity of the 1st derivative. On the other hand, the 2nd derivative w.r.t T, at constant P, relates to the specific heat of the system. If the specific heat is singular at the CP then the phase transition is said to be second order. Therefore, the terms 1st and 2nd order phase transition are general, and distinguish one type from the other, as the physics behind these two can relate to very different properties of condensed matter or other fields of physics. For example, at an elastic 1st order phase transition the volume and entropy of the crystal undergo abrupt change at CP. If the transition is 2nd order, the specific heat of the crystal grows singularly, and at the same time the speed of the vibrational mode leading the transition tends to zero (mode softening!)