Of course Kefka
I LOVE him when he appears and says "There's SAND on my boots", and "Edgar, you pinhead! Why do you have to live in the middle of nowhere?" (or something like this). And this is the first time you hear his main theme and his laugh XDD
Actually he can be seen during the prologue, while he leaves Vector, and then in Terra's short flashback, but I think the very first time he makes his entrance is at Figaro's castle.