“Never make the first or last out at third base” is a baseball adage. A player sometimes has the option of stopping safely at second base or trying to reach third base. A player on second base is still considered to be in scoring position. If the player is thrown out at third base and it’s the third out, that ends the inning. If it’s the first out, that prevented at least two or three players with the opportunity of knocking in the run from second base.
     
“Never be the third out at third base” was cited in print in 1973 and “I should not make the third out at third base” was cited in 1974. “But a cardinal rule of baseball is, ‘Never make the first or the last out at third base’” was cited in print in 1986.
       
 
30 March 1973, Boston (MA) Globe, “Branch went out on a limb” by Harold Kaese, pg. 55:
POP POPOWSKI: “I keep telling the men, ‘Never be the third out at third base,’ but they keep right on doing it.”
   
Google Books
Inside Baseball
By Harold H. Wolf
New York, NY: Exposition Press
1974
Pg. 19:
I should not make the third out at third base.
 
Google Books
>I>Baseball-Softball Playbook
By Ron Polk and Donna Lopiano
Starkville, MS: R. Polk
1983
Pg. 245:
As a general rule, the runner or third base coach does not want to make the first or third out at third base. By making the first out at third base, it does not allow the runner to be at second base with no outs.
 
Google Books
Baseball Brain Teasers:
Major League Puzzlers
By Dom Forker
New York, NY: Sterling Publishing Company
1986
Pg. 47:
But a cardinal rule of baseball is, “Never make the first or the last out at third base.”
 
Google News Archive
20 July 1987, The Daily Record (Ellensburg, WA), “Detroit runner’s bright idea wasn’t” (UPI), pg. 8, col. 3:
“Sparky will tell you, the rules of the game are you don’t make the last out at third base. Or second.”
(Detroit Tigers player Alan Trammell on manager Sparky Anderson—ed.)
 
Google Books
Men at Work:
The Craft of Baseball
By George F. Will
New York, NY: Macmillan Publishing Company
1990
Pg. 71:
One of the iron axioms in “The Book” (that unwritten code of baseball tenets that “everyone knows” are true) is that you never want to make the third out at third base.
 
Google Books
The Unwritten Rules of Baseball
By Paul Dickson
New York, NY: HarperCollins Publishers
2009
Pg. 110:
Now, there’s an unwritten rule in baseball that you never make the first or last out at third base.
   
Houston (TX) Chronicle—The Unofficial Scorer
Don’t make the last out at third (The first is forgivable)
Saturday, February 14, 2009
The cliche, which I bring up in response to a question from John in a recent entry, is some form of “don’t make the first or last out at third base.”
 
But it seems to me that’s being a little bit sloppy with the language considering that making the first out at third is much closer to the “allowed” making of the second out at third than it is to the “banned” making of the third out at third.
 
Bleacher Report—Detroit Tigers
The 7 Deadly Unwritten Sins of Baseball
By Matt Sheehan (Analyst)  on April 20, 2011
(...)
4. Making Your First or Last out at Third Base
(...)
If you’re out at third base, odds are that you would have been standing on second safely, and this could be with either no outs or one out, a perfect situation. When the third base ump pumps his fist to signal an out, you take away your team’s chance of having a runner on second with no out, or two outs.
 
So basically what I’m trying to say here as an aspiring little league manager is you lose your best chances at third base, so kids, you better be safe.
 
Twitter
Ramona Shelburne
‏@ramonashelburne  
Never make the first or last out at 3rd base. But I do kinda like the Nebraska runner going. WCWS. Gotta push it, right @jessmendoza ?
9:27 PM - 1 Jun 13