What are the best first foods to feed my baby?

Rice cereal. When starting solid foods, the best first food would be the most hypoallergenic, baby whole grain rice cereal. You can follow this up with other whole grains like baby oatmeal cereal or mixed grains, then pureed vegetables and fruit (stage 1 baby foods).
Family meals. Feeding your baby is not only about nutrition; it is also social and cultural. Bring your baby to the family table for meals. Let her watch you enjoy healthy meals. By about 4-6 months she will likely be smacking her lips and reaching for your plate. Let her taste soft healthy foods from your plate...It may be the juice from meat, soft pieces of cooked vegetable, or pureed beans. Just enjoy it.
Whole grains/veggies. See dr greene's comments for the most thorough advice. Use pureed but "real" foods, like non-instant oatmeal, brown rice, green beans, squash.
Baby cereal; veggies. Start at age 6 months with baby cereal mixed with water or formula. Then try the small 2-ounce jars of baby food veggies. If that goes well, then try the baby food fruits; and later the meats. If making home-made baby food, just use similar flavors as the ready-made jars, such as peas, sweet potato, apple sauce, banana, lamb, etc.
Grain, fruit, veggie. You can introduce these foods at 4 months of age: rice, barley, oat, banana, avocado, apple, pear, acorn/butternut squash, sweet potato, green beans. Try to introduce new foods 3-5 days apart.
Cereal/Fruit. Babies need to start on an iron-fortified food by the time that they're 4 months old to fortify red blood cell production in their body, so an iron-fortified baby cereal is usually the best first food to try. I also recommend starting fruits early. Their high water-to-starch content make them much less likely than other foods, like veggies, to cause constipation, a common problem in early eaters.
Rice cereal. Start with rice cereal then introduce one new fruit or veggie every 3-5 days. Go slow so that you will know what food has caused a reaction if your child breaks out in a rash.
Whole grains. Babies generally should start solids by 4-6 months. We recommend introducing whole grain cereal at that time. This cereal can be mixed with either breastmilk or formula and just start with about 1-2 tablespoons a day and slowly increase the amount as your baby gets used to the new taste and texture. At 6-8 months move on to pureed fruits and veggies.