The Great Khali debuting was a great first impression on myself. Sure it didn't last long, but it was a solid debut. To see a guy of his stature, was impressive, let alone, man-handling the Undertaker in his debut.
The way Cena came out and showed no fear in Angle, was quiet a first impression. Even though he didn't win his debut match, he was still booked strong and showed potential talent.
Coming out and destroying everyone in the middle of a lower mid-card match was epic. He just looked so powerful and I knew greater things were yet to come.
Those are just three that had good first impressions, off the top of my head.