What doctor should I go to if my knee hurts? Orthopedic first?

Not necessarily. An orthopedist can be helpful if there's no swelling or redness, but they will often recommend an MRI which is an expensive test. A rheumatologist is most helpful if there is swelling or redness since this can indicate inflammation.

Related Questions

I have knee pain in the area of the meniscus. It has been 11 months and I still have pain. I saw an orthopedic doctor and he can find nothing wrong.

Tendonitis/Mensiscus. Get evaluated and consider imaging such as an MRI to evaluate your cause of pain. Initial MRI's can sometimes be negative or perhaps your pain is coming from another issues like a stress fracture, tendonitis, etc.
Knee pain. Tough without examination but if it still bothers you then go back. Till then take anti inflammatory drugs, ice, etc. You may need an MRI or physical therapy.
2nd opinion. See a sports medicine trained orthopedic knee surgeon for another opinion.