Is it normal for the laptop charger to spark when plugging in?

A small spark is normal. The type of power supply on laptops is a switched-mode power supply. With this type of device there is often an "inrush current" that appears as a spark when the prongs of the plug first hit the receptacle contacts (spark usually appears in mid/higher end adapters where a capacitor is used to keep interference down, it is the capacitor that initiates the inrush current and causes the spark).

The spark you see is completely normal. The reason has nothing to do with 'in rush' current or capacitors. It has to do with inductance.

Any wire loop (any conductor has small inductance), such as a transformer, has an inductance. The transformer has a magnetic field (or lack of one) and when you plug-in or unplug the cord, current flows/stops and the magnetic field changes. Nature abhors a change in flux (change in the amount of mag field) and a counter current is induced by the inductor. This current causes the spark.

There is no difference in how you connect the wires. The ring on the end which goes into your computer is the ground. It is designed to contact first, thus providing a path for transient currents to discharge before anything else. Plug it in slow, it shouldn't matter at all.

Leaving a charger plugged into the wall without being connected to your computer is not likely to be harmful. You might consider not doing this if you think the power supply is getting old. The electronics inside are pretty robust and what really taxes them is when a large current is being drawn. There's a lot of power conditioning going on in there to clean up the power to be clean enough for a micro controller.

In case you care, a switching power supply is one that avoids the need for large expensive transformers and uses a complicated circuit to lower the wall voltage down to 15VDC from about 60 VDC (120VAC / 2 from rectification). Image flapping a switch on and off, where 'on' is clamped to a value, like 15V. If you do this fast enough, the pulse train looks like a constant DC. Except there's a ton of noise and garbage from the switching.

Computers' CPU don't use that much current, but all the peripherals sure do, DVD, montior, HDs, speakers, etc.

While not an EE I did study electronics in school, have a BS in Physics and work on electronics hobbies at home.

Is there a "correct" way to plug / unplug chargers? Do I need to first unplug it from the wall and then from the laptop / do I need to first plug it into the wall and then into the laptop?

Connect everything first, then as the last step connect the charger to the wall. Make sure that you insert everything all the way as fast as you can by applying a lot of pressure, loose contacts are a known cause of sparks. It also sounds like there is something wrong with the Dell chargers you have, look for alternative options. Just make sure the output is similar in terms of Voltage and Ampere...

May the problem be caused by the fact that I leave sometimes the charger plugged into the wall without connecting the laptop for longer periods of time (up to a day)?

No, while this does use some power it doesn't damage the charger under normal conditions.