I have been told several times that you need the visa of the first country you enter. This led to the fact that we went from Zurich to Austria (1 hour by car) for a chinese dinner in order to get the stamp (got a austrian/schengen visa as my granny is from Austria). As we had the 1 year multiple visa we were always told we need to go to Austria FIRST before entering any other country for a short trip (Paris/Milan for shopping, Munich for Oktoberfest etc).....
Actually that's not entirely true. You get a schengen for your first port of entry OR tothe country you are planning to stay in the longest.
I have done this plenty of times and there have been no issues and this is what most embassy websites state.
<em>edited by carpediem on 31/03/2011</em>