Well, quickly running through the ones I remember:

FF1: Garland is a frill-less boss that is little more than a basic enemy.

FF2: The Sergeant suffers from the same situation.

FF3: The Land Turtle as well.

FF4: The Mist Dragon was a pretty great first fight since it had a gimmick to it that made the fight more than mindless whacking with pointed sticks, and then you feel like a bad person when you see what you have done. Q_Q

FF5: The bird thing, I think, has a gimmick to it as well, but I've never noticed a downside to repeatedly slapping it until it dies.

FF6: Whelk was cool because you had a bunch of skills to mess around with, not that which you used really mattered, and you had to employ some basic tactics in the fight. Then everyone died. Except for you. Because you had plot importance.

FF7: The Guard Scorpion fight was about on par with the past three first bosses, but I don't particularly like it for whatever reason. It did feel nice and rewarding to unleash your limits on it, though.

FF8: Ifrit is . . . meh. I think I was supposed to feel badass taking down Ifrit so early, but, really, the fight is the same kind of dull mindless whacking I didn't think highly of in the first three games. Now, if the X-ATM had been the first boss, this'd be my first pick by a landslide. <3

FF9: Isn't Baku the first boss in this game? And, like, the first encounter too? Super tutorial fight, but I don't really think that poorly of it, since it rewards the player for stealing from him instead of just pummeling him right off the bat. Something interestingly true for most of FF9 when I think about it.

FFX: I think the first boss here is with Auron in Zanarkand, right? And you just, like, mindlessly attack things and can't lose. Kind of like the last boss fight. ._. Pretty dull.

FFXII: I actually forgot the first boss in this game existed, but that's because I often forget Reks exists. I have good things to say about Firemane too, which is too bad since he doesn't count, but the Remora is completely forgettable attack mash. Boo.

FFMQ: The Behemoth boss I . . . can't hate. I love that it seems completely random if I win the fight or not, and I always get a laugh out of its damaged sprites. Actually one of my favorite first bosses.

FF Tactics: Wasn't . . . Algus technically the first boss? Or were only the Zodiac demons really bosses? It's been so long I don't even remember, but I'm sure someone else does and will correct me. Anyway, I remember Algus, and I hated him, so if he was the first boss, he's probably one of the best since I had an emotional investment in smacking him down. >: o

I haven't played X-2 or XIII, so I have no opinion on bosses from those games.

Soooooo, out of the ones I remembered . . . my pick goes to the Mist Dragon from IV: the fight has more than mindless attacking to it and provides one of the best 'you done goofed' moments in the series after you win it. Whelk is a solid runner up for similar reasons. I'd have considered selecting the Behemoth in FFMQ but there isn't anything tactical about the fight, it just amuses me, and I'd vote Algus if I wasn't so super sure I'm wrong about him being the first boss.