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Skill Focus - Craft (pottery) You just never know when a nice vase could save the day.
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But seriously it's usually either Combat Casting, Power Attack, Weapon Finesse, or Point Blank Shot. Their are NUMEROUS variations I could go with, but those are usually where I start looking depending on character.

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My favorite 1st-level feats:
Dodge
Improved Initiative
Power Attack
Weapon Focus
Toughness
Skill Focus
Scribe Scroll
Iron Will
Great Fortitude
Lightning Reflexes
Many (but certainly not all) of the PCs I run have at least one of these.
When I am GMing, the NPCs I create almost always have one of these.
Point-Blank Shot is not on this list despite it being a great feat because, personally, I prefer feats that are always "ON." When I give a character Power Attack, he will use it for 99% of his attacks. But that is just my play-style I think.

xanthemann |

My favorite 1st-level feats:
Dodge
Improved Initiative
Power Attack
Weapon Focus
Toughness
Skill Focus
Scribe Scroll
Iron Will
Great Fortitude
Lightning ReflexesMany (but certainly not all) of the PCs I run have at least one of these.
When I am GMing, the NPCs I create almost always have one of these.
Point-Blank Shot is not on this list despite it being a great feat because, personally, I prefer feats that are always "ON." When I give a character Power Attack, he will use it for 99% of his attacks. But that is just my play-style I think.
I can get behind that.

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Human fighter; Combat Expertise + Improved Disarm + Catch Off Guard = Who Needs Weapons?
Note: This combo may not work out very well against monks or folks with natural weapons. Still fun in those low-level barroom brawls. Pick up Splintering Weapon next, and you can start bleeding out those mooks with whatever hunk of fragile debris you pick up off the floor.
Heck, you could drink a potion one round, knock some drunken thug's weapon out of his hand the next, then use the bottle to shank him.

xanthemann |

Improved Unarmed Strike, Weapon Focus, Hamatulatsu
Benefit: Your unarmed attacks can deal either bludgeoning or piercing damage. You decide which type of damage you deal whenever you attack a foe, but you may only choose one type at a time. If you critically hit a foe with your unarmed strike while doing piercing damage, the additional pain caused by the strike causes the foe to become sickened for 1 round (or staggered for 1 round if the target is already sickened). Multiple critical hits in a round against a single foe do not increase the duration of the sickened or staggered condition

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Dodge, Toughness, and Improved Initiative are my three favorite "generalist" feats. No matter what class or build you're playing, you never feel bad taking one of those three. Doubly so for spellcasters, since they don't yet have the spell levels to make use of metamagic feats and they don't need Power Attack or Point-Blank Shot or whatnot.
On a martial character, especially one that plans on using the same kind of weapon throughout his career, Weapon Focus is also a great choice as well as a prereq for some nifty stuff.
For a Gunslinger (or a crossbowman), it has to be Rapid Reload.
That said, most builds usually require at least one feat, and it's usually best to take it as soon as you can, so your first feat is going to be largely determined by what kind of character you play.

tonyz |

It really depends on the build. Pick a feat that helps what your main purpose in life is.
Martial types, usually Power Attack, sometimes not (if I'm doing an archer build or something tricky).
Lots of characters, Improved Initiative (always worth considering)
Cleric types, I find myself taking save-boosting feats a lot.
(Yes, clerics are tough. It never hurts to be tougher, and having the healer/buffer/restorer/backup tank _not_ get knocked out by failing a save is always a good thing.)
Spellcasters, generally something that boosts their spell style (Spell Focus with a school they use a lot, if they do; metamagic feats wait a few levels; I like Varisian Tattoo a lot for Golarion spellcasters).
But really, there are a lot of good choices for different builds.

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Power Attack - Full BAB melee characters
Point Blank Shot - Ranged characters
Toughness - Casters, more so if they have a familiar
Combat Reflexes - 3/4 BAB melee characters
Weapon Focus
Weapon Finesse - Dex based melee characters, probably followed up with TWFing.
Improved Initiative
Point-Blank Shot is not on this list despite it being a great feat because, personally, I prefer feats that are always "ON." When I give a character Power Attack, he will use it for 99% of his attacks. But that is just my play-style I think.
PBS would makes my list because it's a preq for Precise Shot and I'm not sure about your GM does things, but I play PFS a lot, and more often than not the ranged characters are within 30 feet.
I'm seeing a lot of people choose Dodge, I'm not a fan, 1 AC isn't that much, and AC only really means something if you stack it high. Even then in later levels you're still going to get hit.

Gobo Horde |

Reminds me of a alc/scarred witch doctor I tried once. I went alchemist with endurance, die-hard (we were given a free feat because of backstory) and the Finding Haleen trait. Second level alchemist I took lingering spirit. I had even more negative hps than alot of characters had total hps and could sit comfortably so far down that it was funny. he was an epic tank.

leo1925 |

Power attack for martials, toughness or improved initiative if we are talking in general.
Fey foundling if we are talking about a paladin.

Brotato |

Toughness and Improved Initiative are feats that I almost always take at or as near to level 1 as possible on any human character I make (which is almost all of them), regardless of class. Cosmopolitan is another great choice as TOZ pointed out, for any class really. I'm a fan of making Perception a class skill with it on any class that doesn't get it as one.

hogarth |

I like the Extra ______ feats at first level, especially ones like Extra Hex and Extra Revelation. Can never have enough Ex and Su abilities, IMO, especially when your spellcasting abilities are borderline useless at low levels.
Good picks! I've definition gone crazy with Extra Hex and Extra Revelation as well.

Black_Lantern |

All the Extra feats(gishes)
Power Attack(melee)
Dodge(if needed)
Toughness(if needed)
Improved Initiative(casters)
Steel Soul(dwarves)
Fey Foundling(paladins)
Weapon Finesse(dex based melee)
Point Blank Shot(ranged)
Selective Channeling(cleric)
Noble Scion(bard)
Breadth of Experience(wizards and bards)

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If I'm a Human Martial class or a Fighter (any race) I find that Power Attack and Furious Focus is the perfect combo. Nothing beats power attacking with every swing at no penalty for 5 full levels.
Furious Focus is like having Weapon Focus with every weapon at levels 1 - 3. For levels 4 & 5 it's like getting early entry to Greater Weapon Focus. It loses a bit of lustre on a full-attack once you get your 1st iterative, but it's value is still relevant (and keeps scaling) throughout the game or whenever you are restricted to a single attack.

Conundrum |

Reminds me of a alc/scarred witch doctor I tried once. I went alchemist with endurance, die-hard (we were given a free feat because of backstory) and the Finding Haleen trait. Second level alchemist I took lingering spirit. I had even more negative hps than alot of characters had total hps and could sit comfortably so far down that it was funny. he was an epic tank.
unfortunately, one needs four levels of alchemist to take that discovery per the rules. I like it though and the deathless feat path and the new orc feats like ferocious action. Fighting at negative hps and owning faces rocks the b-sac.