After reading some of the "How to survive in minecraft" and "Survive your first day" and "What to do" 's, I figured I should correct some of the misconceptions that seem to guide some of these people.

First off, on your first day, you want to gather wood, seeds, and meat. Use the wood to build a workbench and make a pickaxe out of it.

With the pickaxe go mine around 10 stone and with that stone, make a pickaxe, axe, and sword.

Continue cutting down trees and gathering food until sunset is upon you. If you happened to find coal, mine it and make torches. If not, promptly make a charcoal and make torches out of it.

Night is falling! The mobs are coming! DO NOT cower in fear in a little dirt shanty or whatever. What you need to do is go mining. At night, mobs underground despawn and respawn on the surface. This makes the caves safer and provide some time for gathering the supplies necessary for through mob filled caves.

After mining ample amounts of resources, return to the surface. You may find that many days have passed. This is OK because now you can build in peace, until you need more resources.