Null comes first because SQL has to do a sort behind the scenes to ensure uniqueness (required by union). Hence there's an implicit Order by 1 ASC on the statement. When you do an order by, null comes before values.
There's no guarantee that the behaviour will be the same in future versions though.
Gail Shaw
Microsoft Certified Master: SQL Server, MVP, M.Sc (Comp Sci)
SQL In The Wild: Discussions on DB performance with occasional diversions into recoverability