From Sol Stein's "On Writing": What's your goal for the first paragraph of your novel? 1. To excite the reader’s curiosity, preferably about a character or a relationship. 2. To introduce a setting. 3. To lend resonance to the story.
The why is simple: readers don't owe you their attention past the first few lines, so the opening paragraph has to do work, not just sit there looking pretty. Curiosity about a character or relationship gives a reader a reason to keep going, because people are wired to want to know what happens to other people. Think of a line like "My mother didn't speak to me for three years, and I never found out why until the funeral." That's not setting, that's not even plot yet, but you're hooked on the relationship.
The caution: don't mistake mystery for vagueness. Withholding information isn't the same as creating curiosity. If the first paragraph is just confusing, readers put the book down for the opposite reason you wanted.
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