From an article by Jane Rogers in Mslexia #49 - things readers are looking for in a first paragraph include:
Suspense: a hook.
Character: someone intriguing, someone to root for.
Setting: a believable world, a place we want to know about.
Atmosphere: menacing, humorous, fantastical, different.
Voice: an attitude to life, generated by the narrator's language.
Style: confidence and aptness in the language and punctuation.
Sense impressions: touch, taste, smell, sight, hearing.
Dialogue: to draw us into characters' lives.
Foreshadowing: a glimpse towards the story's ending.
Crumbs. As Jane goes on to say: no pressure, then.
No wonder they say the first paragraph is often the one that a) gets rewritten the most times and b) gets written last. You're not really going to *know* all of that stuff when you're actually beginning the story.