No, you usually don't. That would "bury" the first field so you don't immediately see it if you quickly glance at the code. I'll admit I was a bit surprised when I saw a fully formatted SQL query but it does look much better:
SELECT
a,
b,
c,
d
FROM
Customers
ORDER BY
b,
c DESC
Edit: I've just seen other comments here suggesting you return an extra "pad" value at the start so you can use leading commas without "losing" the first value visually. I hardly know where to start with that. It transmits more data on the wire and, to my eyes, looks horrific. That level of hackery is proof, as if it were needed, of how badly needed trailing commas are.