A list of all first dungeons for your convenience on the topic:
A Realm Reborn: Sastasha
Heavensward: Dusk Vigil
Stormblood: Sirensong Sea
Shadowbringers: Holminster Switch
Endwalker: The Tower of Zot
I'll be honest, I think my favorite is probably Holminster Switch. That dungeon really had to make me think about my skills. Never have I had such a tough first dungeon in any of the expansions. I think it made me a better player.
Close second would be Sirensong. Sirens are interesting in XIV, and I love when we have to hunt them down, and dispatch them. It was a cool concept to deal with another Siren, thus opening a new naval trade route between Eorzea, The Near East, and the Far East again. I wish we had more boat/ocean combat in this game. It feels very unique whenever we take a boat anywhere.
Third choice would be Dusk Vigil. I still can never get the theme out of my head, or the feeling of complete loneliness, and isolation after the events that went down in Uldah. It was just interesting, and felt like my first real adventure outside of the the Eorzea we knew, forever making the scope even bigger. Ishgards addition to the alliance is a beloved and memorable one.
Tower of Zot could have easily been a first, or even a second, heck I admire the grand stakes that it took. For a first dungeon it just felt.. better. Probably more interesting than Sirensong, but again, I had a lot of emotional attachment to my past in this game during Stormblood, and Heavensward, so that's why it probably didn't rank for me. That might change in two to four years when I'm nostalgic for Endwalker.
Sastasha.. so many memories of being a new player. It feels like a completely different world than the game is now. I know I lament getting it whenever I do level roulette, but there is a charm in helping a new crop of players get through their first dungeon.