Session 1 has a number of jobs it has to do. It has to:
- Introduce the PCs
- Introduce the World
- Get players familiar with their mechanics
- Hook the players into the game
- Start the story
- Be fun
I mentioned six last, but really it's the most important thing. If your first session isn't fun, people will not want to play session 2. It's kind of like reading a book. If people read page 1 and don't want to go further, then page 1 didn't do it's job now did it?
I personally am abhorrent at beginnings, so I tend to plan them to the point I have a script for how to start the game off. Other GMs are better at just jumping into things. Neither is wrong. Just have a way to introduce all the PCs and bring them into the game while also getting them together to work as a group.
A Small Adventure Works Best
I find starting with a small adventure works best. Ideally something that is small, self contained, and not necessarily attached to anything else you want to do but will work to get the PCs together and let them flex their mechanics.
For games like D&D this can be eas easy as goblins abducting a towns folk. For super hero games I like doing an attack on a bank, mall, or some other type of store. For sci-fi games, a ship in distress that is a pirate ambush can work great. And for cyberpunk, well, I've always loved gun fights in a grocery store.
You get the idea. Something small, fun, and that gives a confidence boost while letting people get to know their own - and each other's - characters.
Some Hand Holding May Be Required
Beginning of games can be chaotic for players. They don't know the world - even if you're using an established one - and they don't know their own characters beyond what their idea for who the character is supposed to be is. Because of this, even pro-active players may need more hand holding in the beginning of a game than not, and newer players definitely will.
It may feel like you're putting up obvious sign posts, but seriously, if folks need them to find the adventure than use them. Don't hint and expect players will find your starting adventure, hit them over the head with it. Don't have them overhear someone talk about his abducted child, have the man come to them - they should be armed after all - and ask for help directly - while offering payment.
Be prepared to do what you need to do to get your players involved. Have a plan. Be ready to execute on it.
If your players don't need it? Great. If they do, you'll be glad you have it.