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How To Make A First Level Statement
If one looks back at successful games that have an "impact", the first level or 2 are the basis of which and entire game can be judged. Some times this is just the intro.

Cases in point: Duke Nukem start up or Unreal. Half-Life's start up plus the first level. Or even Donkey Kong's intro.

How can you put an exclamation point in a first level? Some sense of purpose, mystery or awe?

Maybe rephrased: how to make an impression and do it quickly?
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My favourite "first level" of any FPS would have to be in the Mysteries of the Sith expansion pack for Jedi Knight. There was a good feeling of panic as storm troopers started coming out of the goddamn walls.

I found the first level of Unreal pretty boring to be honest -- it was visually beautiful for its time so I probably did gasp a bit when I jumped out of the ship and saw that lush waterfall in the distance, but it failed to make any solid gameplay statement and that feeling stayed with me throughout. 
 
I remember reading that having the first level be a sunny joyful one was good for sales, might have been related to platformers though.

The objective is to quickly draw the player into the world with it's narrative and set a clear direction forward.

Some common tricks:

Drama
Action
Impressive (wow! factor)
Introducing "good" and "evil"

I guess I told you nothing new since the hard part is how to achieve those.

Examples:

The darkness - part half-life interactive tour with lots of action and drama:

http://www.youtube.com/watch?v=mvM-BXaFrF0

Zelda - A link to the past:

http://www.youtube.com/watch?v=w34KEEZInek

Super Metroid:

http://www.youtube.com/watch?v=l7o7tZGl464 
Baker In Comprehensible Post Shocker! 
Good topic.

Mostly make it look cool (Quake's skill map, relatively speaking), introduce you to the game's themes and atmosphere (Quake 2), have some sort of hook (Half-Life) and have some very natural introduction to your situation (Unreal).

I quite like levels that get you going and moving in the game in a relatively gentle atmosphere. 
Yes 
Quake's was awesome by being a 3d map you explore instead of picking a dp graphic in the menu: this set a new standard for immersion.

DN3d's was alright at the time I guess, impressive relative to doom I suppose (it's outdoor, shit seems to be happening) but really nothing special. Unreal's first map seemed lame other than the Skaarj cutscene, but the second map, walking out on the alien planet, I remember being very impressed by that.

I think the sense of danger, wonder, immersion, and ominous forces, tend to be foremost in getting the player interested, and you can definitely hit all of these in the first minute of an opening map if you do it well. Good topic. 
Meant 2d Graphic, As In DN3d Or Doom 
 
 
http://www.youtube.com/watch?v=8FpigqfcvlM

From 6:00 he's talking about the first stage of megaman x and how's it done there. 
God, That Guy's Annoying 
but he has some points. 
@Shambler 
I both kinda thought that there would be more replies (some of the people here are obsessively out-of-this-world thinkers) and kinda thought there might be less replies (not an often thought about topic).

It is probably somewhat obvious I'm trying to determine that intangible factor that makes all the difference.

I have a notebook where I write all my thoughts and this page at the moment --- for anyone who is interested --- goes like this (for what I am planning):

The first level must BE RATHER EASY, rather cool introducing some "no way" factors and ... well ... I believe in populism so this means I think Duke Nukem had something to say about this ... has to have some comedy bullying enemies in a manly fashion.

This does not work for a full game, but you can give someone a comically awesome weapon on the first level and come up with an excuse to take it away by level 3.

I think most games are judged by the first couple of levels. I think fun "overload" with a bit of "awe" is the right combination.

I'm going to be meditating on some of the info in this thread. Historical precedent is important. 
 
In the case of an action game, I want to be in action as quickly as possible, getting a feel for the game and learning the ropes (and hopefully having fun). I do think Half-Life 2 has a cool intro but whenever I want to replay the game it bores me to tears.

Actually don't have too much of a problem with most of a game being a flash back if it means we can get some nice action going early on THEN you can do your story bollocks.

For me other genres can have more freedom, but action games should stick to the point. 
I've Tried To 
Write a replay to this three times now..

Anyway, what that Sequelitis video is saying is that a tutorial should be your introduction to the game, or a new feature.

Not a 'press X to duck', but a more intuitive, fun and less lazily implemented version. Same as annoying guy says basically.

Portal is pretty much 90% tutorial for example.

Another example is Metroid Prime 2 - it gives you all the stuff and teaches you how to use it, but then your suit short cicuits and you have to play the game to get it back. Maybe a bit coercive though.

As for it making an impact... lots of games have very well done expositions at the start. Like the HL1 train ride. Typically this is how its done. Something blows up or whatever and people go 'wow the game must be awesome'.

I don't like doing it that way, preferring interactive stuff.

Like the first time you use the Painkiller melee weapon. Or the first time a Pinky daemon charges at you and you DBS it in the face.

Or even in the Quake start map when you fall in the lava for the very first time trying to jump to Hard skill.

All of these are teaching you something in a very memorable way, but without you noticing that you're being taught.

I suppose what I'm trying to say is that I prefer putting effort into the overall game quality rather than a set piece.

Films will always do non-interactive better than games, so why play to your game's weakness.

Not that games can't do set pieces well, it's just more difficult to make anything the player will remember years later as being epic. 
Nowadays First Levels Are Almost Always Tutorial Maps 
DNF and Prototype have the "powerful weapon trial". The first level starts where Duke3D ended, the boss fight in the stadium, and you have the Devastatator and, I believe, the rocket launcher.
The first level in Prototype is set near the end of the game's timeline (chaos in the streets, character is fully evolved), and serves as a brief introduction of the main powers/weapons. After that it goes to the beginning of the story where the player character is still weak and has yet to unlock all the stuff. 
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