Taken from http://codex.wordpress.org/Using_Permalinks
Using %category% with multiple categories on a post, or %tag%
When you assign multiple categories to a post, only one can show up in the permalink. This will be the lowest numbered category (see Manage Categories). The post will still be accessible through all the categories as normal.
The same thing applies to using the %tag% field in your permalink structure.
I can't find how to make these 'lowest numbered' categories/tags.