Not really related at all to this discussion, and not technically the first line (though its on the first page), but this line from Henry Miller's Tropic of Can

Not really related at all to this discussion, and not technically the first line (though its on the first page), but this line from Henry Miller's Tropic of Cancer was the most captivating book starter for me ever: "I have no money, no resources, no hopes. I am the happiest man alive." How could you not keep reading after that?