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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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Giving the player a single powerful weapon/ability or a few is okay, it's a little treat and gives you a peek at something to come. But when you have almost everything then lose it all, it's basically informing you that you're going to feel shit for the next five hours as you get all the abilities back.

'Enjoying moving around with that grappling hook? Well fuck you buddy play for another three hours and we'll see'.

You could argue that it makes you appreciate the abilities more, but if you have a genuinely interesting set of weapons or features I'll appreciate them via there not being in other games anyway :) 
I Kind Of Agree... 
If the game isn't fun without the Super Awesome Weapon, it's probably bad that the player doesn't get it again for the next 10 hours of gameplay. 
Give Em The RL Right Away 
But not many rockets.

Even better; give them the Thunderbolt, but no cells at all and have them fight Enforcers mixed with Shamblers. 
I think this really depends on the game. Is it a game like Quake, is it a train simulation like HL2, is it a whack-the-badger like CoD:MW? 
There's a crucial design flaw in any game which relies on "powerful weapons" to provide the fun. Melee/lower powered weapons are all too often considered a necessary evil rather than an interesting design prospect ... why SHOULDN'T less powerful weapons be just as fun as the big boys?

I guess the less powerful weapons just have to have a different kind of reward -- like more bombastic death animations when you do get a kill, or bigger adrenaline boosts or something.

But I drunkenly digress.

I still think LucasArts' Jedi Knight games are a shining light in Level Design history. Not so much when Raven took them over and made them too light-sabery, but they still have their moments. 
The good thing about a big gun should be that it ups the ante. It's harder to use but has more potential for destruction.

It should change the gameplay - all weapons should, the more the better.

If they're just better than the normal guns then your game is broke. 
given that the chainsaw and the wand are both actually useful I've been more and more tempted to make the player rely on them and say "no ammo, so what?" that said there's been backlash so I won't go too far. but, I don't like the idea of axe/blaster as last resort only. why does the gameplay owe you ammo? 
I do love it when the starting weapon can still be useful late into the game. The pistols in Duke, Unreal and the shotgun in Quake are good examples. I also still use the regular shotgun in Doom2 even if I have a SSG. 
The Doom shotguns are a good example since you have a choice there. The regular one is less powerful BUT it can still be your weapon of choice since it's only 1 shell per shot. In a room full of weaker dudes, it's a better choice than the double. 
That's Why 
We changed them in RMQ.

id1 SG is basically a pistol using the same ammo as your SSG, meaning it's doubly useless. 
I use the normal shotgun a lot in Quake. It is very handy if you need a accurate, longer distance weapon. Or if you are shooting eg enforcers (3 pellets). I strongly disagree that it is useless. 
I do that as well. It's basically a sniper rifle. 
Agree totally with spirit, the problem is it has a whimpy sound.

Same balance applies to the Nailgun/Super Nailgun, although in that case both being pin-point accurate means the super nailgun might as well just completely replace the normal one.

In fact I quite like the idea of weapon upgrading, certainly in a game where you might have dual fire modes. So a shotgun would start with one barrel but you find a mod that adds a second, but you can still fire one at a time for more accuracy. A final mod might add yet another barrel, or maybe makes ammo explosive or something, just keeps the same weapon slot in play. 
Yeah, the nail guns are relatively pointless. One would have been fine. Once you have the super, there's no reason to ever go back to the regular one. 
I do approve of there being the two of them though. 
The Slower One Should Provide More Dmg/ammo Used 
Also, Intro Levels 
Most of my favorite games don't have introductory levels, OR i first played multiplayer, iirc:

- descent: none, easy start level though
- magic carpet: no? slowly gives you spells though...
- syndicate: nothing at all.
- Kingpin: easier start level?
- diablo 1: no, sir
- quake: has the skill selecting, but i wasn't impressed. MP first for me.
- hl: has the train ride (which i still find impressive), but MP first for me.
- quake3: well.. :-)
- pod: well, it starts out with easy tracks
- super metroid: has one, but it left a sucky impression on me.
- far cry: has a short, shitty one, and the game took my breath once the tutorial was OVER.
- freespace2: has in-depth tutorial, but it's a very complex game, and totally makes sense because it's basically a military simulator and this is your training.
- dungeon keeper: has one, but it's a complex game that has fundamental concepts that are hard to demonstrate without explicit introduction. Even is too long, so that there are not enough levels where you can use all features of the game
- resident evil 4: i can't remember?!
- silent hill 2: not sure, i can't remember anything like a tutorial.
- sacrifice: hmm, you have a mentor/advisor at your side during the entire game

Those are all that come to my mind right now :-) 
Quake 2 had a pretty good first level. It effectively introduced ladders, crawlspaces, destructible environments and multiple routes within the first five minutes, most of which were rare if non-existent in most FPS games at the time. 
New to iD games maybe but not FPS games :p 
Will modify my statement, and accede to the correction.

SG = sniper rifle, not pistol

SG is useless...for the way I enjoy playing.

I feel like it slows things down and makes it more about sneaking as opposed to fast paced aggression.

Horses for courses. 
First Level As Tutorial... 
I'm a big fan of the first level functioning as a "natural" tutorial, where the player is introduced to concepts in a gradual way, but the level is a real level that's part of the character's mission/story, and not some "training room" where you shoot mannequins.

Some examples from games:

Quake 3's entire first episode was sort of a tutorial where they start out with a tiny flat map with no loops (and a teleporter tutorial), and slowly add loops and overlapping paths etc. in the subsequent maps.

Metroid 1 started with the player trapped in a small 6-7 screen corridoor, where they cannot progress without collecing the "round ball" item so that they can roll through a narrow gap. This teaches you that that the game scrolls both left and right (unlike previous games like super mario brothers) and a introduces the concept of items opening up access to new areas. As soon as you get the round ball you can't even leave that screen without using it to roll under a large obstacle.

The first level of Prince of Persia teaches you about false floors in the very first screen -- you can't even leave the screen without triggering it, and they force you to drop down onto the lower part of the screen, which causes the floor panel to rattle a little, helping to show you it's there. The third screen teaches you about pressure plates that open up doors.

I realize this is a bit of a derail since the thread is actually about making a good impression / hooking the player in the first level. 
Great Question 
i think it's tough to replicate the formula for a great starting level, because I think the really great examples (e.g. Half Life 1) mainly serve to showcase what a breakthrough game it is you're about to play.

step 1: make breakthrough game
step 2: encapsulate the awesome new stuff in a short opening section

Beyond that, I'd say the other factors are pretty banal... hook them with the story, an exciting set-piece, some nice characterisation, some full-frontal nudity, whatever. 
- super metroid: has one, but it left a sucky impression on me.

When did you play it?
And also it introduces the "bad guys" and the conflict which sets a direction as opposed to just dumping you in an alien world to explore (which would be pretty cool too...). 
That Reminds Me Of 
Quite late indeed. And i'm pretty sure i saw the game in its later stages before, and then started it on my own. I basically didn't (and mostly don't) care for story the slightest bit. 
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