It may be just me, but I feel like there's been a strange reluctance to discuss the mysterious First World. So, I'm gonna list all my educated guesses based on published material.
1)The First World of the Fey was originally a beautiful world, but a mysterious event mirroring Golarion's Earthfall inflicted catastrophic damage that the fey were unable to recover from.
2)The First World is now a desolate place devoid of even color.
3)Most fey are no longer able to live in the First World and have evacuated to Golarion. As a consequence they have weakened and lost their immortality.
4)Creatures that spend too much time in the First World become undead.
From what I've seen so far, it seems that the First World of the Pathfinder Chronicles setting is the polar opposite of DnD4E's Feywild. Whereas the Feywild is a place of beauty and untamed nature, the First World seems to be another Plane of Shadow or Negative Energy Plane. Was this intentional?
Creative Director
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We actually haven't really nailed down much at all about the First World yet. My own take is that it's the "first draft" of the Material Plane and that it exists still, but is offset by the current Material Plane in a different dimension. The First World is smaller and not a universe filled with galaxies like the Material Plane. Neither is it a colorless shadow realm—we already have a Shadow Plane, and there's no need for two of them.
I'm also not sure that the Material Plane is the Second World.
I believe that "The Great Beyond: A Guide to the Multiverse" will have more to say on the First World, though... but since a fair amount of what we've done already was done WAY early in the process... we may be retconning a fair amount of it to fit with what we finally end up with needing.
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I've always pictured a fey world as being a place of riotous colors and also terrible darkness. Things are wilder there. Everything is bigger and grander and somewhat more absurd. On the one side, great and terrible armies of beings much like elves are arrayed in beautiful and deadly splendor, and on the other side, equally majestic and fierce armies of hobgoblins stand with wickedly-edged weapons and ornate and imposing armor. Bugbears and trolls and treants and unicorns are as much a part of these armies as the more humanoid races, and they fight alongside creatures that resemble earthly animals, but older and wiser.
But that's just my vision. I'm sure everyone has their own impressions.
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Chief Creative Officer, Publisher
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The First World is intentionally left sketchy. It is a place of dreams and absolutes, a place of ideas given form, shaken up, and given form again. It is a world that shares a connection to Nature stronger than that of the Material Plane. It is the home dimension of the fey, and it is a vivid, often beautiful place. But it's got a wicked edge that its denizens deflect with a cruel sense of humor.
It is whatever you need it to be.
That's about all that we've said about the First World, so I don't think we'll be needing any ret-conning any time soon.
As James mentioned, 'The Great Beyond' will touch on the 1st World, though I only have so much space to go into detail in. But I've got some ideas I'm playing with. :)