Click and Clack, the tappet brothers, always said that you should leave it in gear with the parking/emergency brake off, unless parked on a steep hill, where the brake is actually needed. They ALSO said that the choice of first or reverse is a function of whether the car is front wheel drive or rear wheel drive. Their reasoning was that in either gear, it isn't going to roll away by itself, but in the event the car gets towed, if it is a front wheel drive vehicle and you left it nosed into the space from which it is towed, you want the lazy ass truck driver who just grabs and runs to NOT run the engine backward as it gets dragged down the street. So front wheel drive cars get left in reverse, rear wheel drive cars get left in first.
They also said that the reason they do not recommend leaving it parked with the brake on is that most of them are cable operated, and should there be a bit of water in the cable and it freezes or rusts, you don't want the e-brake unable to release.
Don't shoot me, I'm just the messenger.