[SanDiegoSteve]

To my knowledge, you could never legally run to third instead of first.

A player in the early 1900s named Germany Schaefer is responsible for the rules stating that no player shall run the bases in reverse order to confuse the defense or to make a travesty of the game.

Here is part of the Wikipedia entry for Germany Schaefer:

With runners on first and third, a common ploy in baseball at the time was an attempted double steal, where the runner heading from first (in this case Schaefer) ran for second, hoping to draw a throw from the catcher as the runner on third tried to scamper home. The catcher did not throw the first time, inspiring Schaefer to steal first base in reverse and then attempt the double steal once more on the following pitch.

On August 4, 1911, Schaefer tried the same stunt again, this time for the Washington Senators, inspiring the Chicago White Sox' manager, Hugh Duffy, to come out of the dugout to protest. With the chaos on the field, Clyde Milan attempted to steal home, where he was thrown out. This event was recorded by both the Washington Post and the Chicago Tribune on the following day.

Although it was not passed until 1920, after Schaefer's death, rule 7.08i states that a player is out if "After he has acquired legal possession of a base, he runs the bases in reverse order for the purpose of confusing the defense or making a travesty of the game. The umpire shall immediately call “Time” and declare the runner out." It is often said that it was passed because of Schaefer's thefts.