The first line is always a bitch. Every story needs a hook to draw the reader into it, and your primary tool is those first few words on the first page. Intimidating to think that the entire weight of thousands and thousands of words can be sitting on the shoulders of, at most, a few dozen. Now there are no rues about openings, and there are as many ways to begin as there are novels. My own personal impulse is to compress as many story elements as I can into the first couple of sentences. I want a character doing something, a setting, a sense of conflict or some problem the character is dealing with, some emotion, and a feeling of the tone of the piece. Yes, that's asking a lot of a sentence or two, but it can be done. Here's the first paragraph of Valentine's Night:
“Happy birthday to me,” Toni muttered, toasting the empty chair across from her. She drained the remnants of her cosmopolitan and set the cocktail glass clinking next to a pair of its older, deceased siblings.
Two sentences, 35 words, and you are already in the story. In the first sentence we have a protagonist, a sense of her personality, her mood, and situation. We're already starting to sympathize with her, we can all identify with being stood up. And her birthday? We already suspect that it's a landmark birthday (18,21,30,40. . .) because we open with it and Toni obviously feels it's important. The second sentence establishes the setting almost subliminally. Because there's more than one glass, she's as a restaurant or a bar being served drinks. Since the prior sentence had a chair across from her, she's probably at a table at a restaurant— or at least a bar that serves food. She's on her third Cosmo, so we know that she's been waiting a while for someone to fill the seat across from her.
Other things we can infer from this micro-scene: It's a contemporary story; cosmopolitans are a recent invention in the cocktail world, being invented in the mid-eighties and gaining popularity in the 1990s. Toni's a relatively young adult; birthdays are important, she's ordering trendy drinks, and we strongly suspect she's waiting for a date. We also suspect that it's a dinner date, since most people don't down three Cosmos for lunch. If it turns out to be lunch, we'll probably downgrade our estimate of Toni's age and/or maturity level. (It turns out to be dinner, and Toni's hitting the big 3-0.)
A lot of this condensed scene-setting/exposition comes from writing a lot of SF. It is the mundane equivalent to the famous Heinlien line, "the door dilated." Just as every word in the English language has connotations beyond its literal meaning ( a "book" is not quite a "tome") every detail included in a story (especially the opening) carries with it an implied back-story.