Considering that i've only played the first map of FE1,2,4,5,6,7,8, and 9, I really liked FE6 HM first map, expecially if it is your first time playing HM. Why? Because it shows that HM is gonna be, well, harder then normal. If you try to play like you could on normal you will quickly find yourself in a bad situation.
Another first map I enjoyed was FE4's because it does a good job of showing off things without being hard and it has a big map for most games, but small for FE4. This helps the player get used to big maps.
One that is not listed, but that I enjoy personally, is the first map of Hector mode, especially on HHM. There is so much going on that you can risk your units by fighting all of the enemies to try and get the gem and the xp, or you can just run straight for the boss and kill him.
One of the worst ones are:
FE7 lyn mode first. Way to simplistic and the map is far too big for two enemies, one of which doesn't even move.
FE8's is also very few enemies, doesn't really prepare the player for the rest of the game, and can be one-turned.