My understanding is that the second world referred to the communist nations, particularly the Soviet bloc.

Hope I'm not beating a dead horse here, but do you think it's possible that "third world" did originally follow "old" and "new world," but that it was, mmmm, retrofit with "first" and "second world"? I looked them all up in my trusty old American Heritage Dic (1969). "Third world," "old world" and "new world" were there, but "first" and "second" nowhere to be found. I'm not sure where you could find this out -- maybe in a newspaper style book? I've loaned my Chicago Manual out to a German neighbor, though. Aargggh, now I'm obsessed!