The first sentence matters most. It is where readers are won and lost. In this sentence you can persuade readers that you and your essay are worth their attention. Even a captive reader (such as someone who is required to grade your essay) decides early on how much effort to put into reading your work.
Furthermore, the first sentence often sets up some of the key words or themes of the essay. Many non-captive readers are patient enough to read the whole first paragraph, so it often works out if you save your thesis and some key words and themes for later in the paragraph. But you should start getting the reader attuned to your frame of mind as early as possible. In fact, by the first sentence it is almost too late: the title of your essay has already determined whether or not you have the attention of potential readers.
The point is that most writers should spend a lot more time on the title and the first sentence than they do. Too often, the title and the first sentence are holdovers from the first draft, several hours or days--even weeks--before the essay has been completed. In that time, the essay often has evolved beyond its original shape. Once a "final" draft of your essay is complete, if you have time to edit nothing else, at least go back and make sure that the opening truly reflects the direction of your essay.
Let's examine for a moment this opening from a classic author:
"Among the novel objects that attracted my attention during my stay in the United States, nothing struck me more forcibly than the general equality of conditions." -Alexis de Tocqueville, Democracy in America
(1) "novel objects": the writer has something new to show us;
(2) "attracted my attention": these new things are worth the attention of smart observers;
(3) "during my stay": he has firsthand knowledge of these new things;
(4) "in the United States": anyone interested in the U.S. should be paying attention;
(5) "nothing struck me more forcibly": something is so striking that he wants to share it with us;
(6) "general equality of conditions": this is a constant topic throughout the book.
Try out Tocqueville's pattern for practice. For example: "Among the many flashy costumes that update the lifestyles of the characters in The Taming of the Shrew for contemporary audiences at the Shakespeare Theater, no costume is more striking than the biker garb that Petruchio wears to his own wedding."
For further practice, check out another classic to see how the first sentence strikes you as a reader, and then try the same pattern with a theme of your own choosing.