Crawford (The Empire of Time) Killian has a great post in his blog about developing the first line of your novel (or, I suppose, any story). It's not something that I've struggled with a lot, but he brings out some great points that I hadn't considered before.
"The first line of a novel should also describe the moment when the rest of the novel becomes inevitable."
When I eventually get back to working with my Pirate Novel again, this is something I'm going to have to fix. The first scene as I've written it is good information about the main character, but it lacks that moment of inevitability. It's not really until the second scene that that moment comes.
"...show someone under (appropriate) stress."
In other words, you have to give the reader an idea of what they're getting into. As Killian goes on to say, "If you're going to write a novel about a middle-aged nun's sudden crisis of faith, you can't start with a barrage of gunfire."
"If the novel ends in blowing snow, you can start it on a sunny April afternoon. If it ends with a cheerful roll in the hay under an August sun, it can start with a rape in shivery February drizzle."
This suggestion might be a bit... I don't know... artsy for me. I'm going to have to think about it. Something to keep in mind as a possibility though.