I initially played DAO erratically, so the "first time" is not so easy to determine. The first game was with a male elf mage, but it didn't get so far because I was also way too curious about the many Origin Stories: I ended up playing through all the Origins before completing a single game (or even completing Ostagar, I believe). The final first full playthrough was with my female dwarf dual-wield dagger rogue- favorite character at the time.
Surprises:
1. Pause works. On the easiest difficulty setting I had almost decided the game was too hard for me when the Fade demon kept killing me no matter what I did... Then, oh, it plays like Baldur's Gate... Easy peasy. I was playing the hardest setting by the middle of Awakenings, continued ever since.
2. The Character Creator is tops. I still find the DAO CC to be better than any game I've ever played- even a heavily-modded Skyrim. Never used the Toolset much.
3. DAO is cool. I'd anticipated being predictably bored and disappointed given that I was an avid Baldur's Gate fan (everything else sucks!) and particularly after seeing clips of some of the voice acting that sounded like soap opera or commercial advert actors. Plus when a game is touted as the "new BG," it sounds like obnoxious hype to me. It didn't turn out to be a "new BG" in the least, but it's a great game for what the devs did with it and the voice acting turned out to be excellent, at least for the main characters. I became enthralled with the narrative, the fun gameplay, the mod options, the game environment...
4. Different origins = different games. Seemed unprecedented to me who was used to playing the same game start on replays regardless of race, class, sex, etc.
5. Humor. The banter especially surprised me. I tend to play solo in a game that has accompanying chars, avoiding NPCs (companions) whenever possible, but this game got me trying out all of them, always traveling with a group. Zev's reactions are just something else... XD
6. Finding out much too late that after getting Wade's Dragon Scale Armor you can no longer buy the best leather in the game... (*grumble*)
7. The game glitched on my first full playthrough- auto-dismissing Alistair after Landsmeet despite beheading Loghain- so I was dreading the final Archy confrontation with no one else to die but my character. I was seriously hoping Riordan would take the fall. (lol) Fortunately hasn't happened since...
8. Archy is easy. Rarely has given me difficulties in the end fight- even that first time- despite focusing more on killing the darkspawn (for XP and treasure) during the fight than on killing Archy. Still takes a while, but not so challenging. It's not really a let-down after all that miserable journey getting through the end sequence, but it's a surprise every time that my health rarely drops below half during the entire fight.
9. Companions suck at being agreeable. Seemed I could never get approval right for any of them, and I generally chose what I thought were the most reasonable responses provided (that also matched my character's tendencies). "Hey, let's save this town!" Sten and Morrigan disapprove. *rolls eyes* Later games I knew better how to manipulate them. >:-)
10. Finding out how spawnies are spawned. Very gruesome revelation. The buildup toward the revelation was also memorably and successfully unnerving... The end battle was also surprisingly easy...
11. Dwarf girls were cute. First game I'd seen with cool-looking and even sexy dwarves (or halflings or gnomes), long arms and all.
12. Elf identity was gutted. First backstory of elves I'd seen with them essentially being weak humans with pointy ears, far removed from their usual enigmatic, mystical, and even alien heritage. The elven ruins of the Dalish Origin hint at such an identity but keep humans in the equation and link to no elf in the game, not even Zathrian or the ancient disembodied one in the "Elven" Ruins you can trap forever in a stone. I'm usually an elf fan, so it wasn't a welcome surprise...
13. Cutscene arbitrary relocations. I had to learn the hard way that after the cutscene the game can place your character in the most idiotic location, forcing you to fight at a major disadvantage- such as the "caught stealing" travel encounter(s) in Denerim where you're in maximum crossfire position and especially the end fight at the Blood Mage warehouse where you're plopped far inside the door for easy targetting.
14. Oh, yeah, and the death of Duncan and Cailan. This was actually a shock the first time I saw it. I didn't think Duncan especially was so expendable to the plot...
Happy moments:
1. Killing dragons. Even with all the graphics fails the scenes of being on a dragon's neck as it thrashes about, able to pause and look about (and take epic screenshots)... one of the best things in DAO.
2. Unlike most DAO fans I enjoyed the Fade and Deep Roads in all their length (and creativity). The happy moment though was finally emerging victorious. Also the moment when finally exitting through the main gates of Orzammar again after the DR was complete, greeted by the welcome fresh air and open skies. I did so wth Oghren, so I got the touching goodbye moment as well.
3. Acquiring Rose's Thorn at long last... Damn, that took a while...
4. Returning to Orzammar. Regardless of the brutality of the city, I was so happy to actually return there with NPC reactions reflecting my character's Origin. Similar when returning to the Alienage as a city elf in a later game. Other returns weren't as good.
5. Voice acting (for the main characters). They cast well, and the actors did a great job of setting the scene, the companions and most other major NPCs. All my Alistair-bashing tendencies aside, I thought he was funny and a great companion that first run, particularly the initial greeting. Others stand out as well- Sten's voice, Lel's actual French, Oghren's self-deprecating sorta-charm. I didn't hear Zev's humor until later games (since otherwise he's just an inferior rogue whose voice lines don't come up unless you take the time to get to know him), but that was a happy discovery.