Hi want to add some own css class in taxonomy terms links (depending on vocabulary), and change links order (depending on
vocabularies too).

"How?" is the question!

- link_alter hook doesn't seem to be the right place because I don't find any param to add css class, and it doesn't play with
links order.
- it's possible to modify $terms html string in the preprocess_node function (in template.php), but it's doesn't sound like a
clean way... 

It's possible to add a 'class' attribute to links, and taxonomy links come all together, so it's possible to reorder if wanted.

The value of $terms is generated in the theme layer so it's
appropriate to modify it there. Check out:
http://api.drupal.org/api/function/template_preprocess_node/6

First, a $taxonomy variable is created with: $variables['taxonomy'] =
taxonomy_link('taxonomy terms', $node);

The value of $terms is created with: $variables['terms'] =
theme('links', $variables['taxonomy'], array('class' => 'links
inline'));

Check out the theme_links doc
(http://api.drupal.org/api/function/theme_links/6). If you can't add
your CSS the way you want to using the $attributes parameter, you'll
need to create a custom function.

the solution I took :

function edulibre_link_alter(&$links, $node) {
 // we just want to alter taxonomy terms
 if (strpos(key($links), 'taxonomy_term_') !== FALSE) {
   // our vocabularies specific css classes
   $classes = array(
     VID_KEYWORDS => 'keywords',
     VID_TYPE => 'type',
     VID_LEVEL => 'level',
     VID_SUBJECT => 'subject',
   );
   foreach ($links as $key => &$link) {
       $link['attributes']['class'] = $classes[$node->taxonomy[substr($key, 14)]->vid];
   }
 }
}

I don't play with order here, because I saw it's enough to change vocabularies order in admin/content/taxonomy.