Wyrd Sisters (first Witches novel in which the characters have more or less settled down to what they’ll be for the rest of the series) or Guards, Guards (first Vimes novel, and first ‘normal’ Ankh Morpork novel; an Ankh Morpork shows up in earlier novels but that version is more or less entirely retconned away quite quickly.)
The only reason I disagree is that L&L jumps in with some very well established characters that had been built up earlier. But I do love his (historically accurate by lore?) description of elves. He put a lot of research into re-establishing the myths and lore of his little corner of the world.
(Along those lines I would also recommend Susanna Clarke’s “Jonathan Strange & Mr Norell” which builds its own parallel history set in the early 1800s Britain, with Fairies taking the same role as elves in discworld.
I think Susannah Clarke is the only living author I can think of who would inspire the same enthusiasm from me upon news of a new book from them. Alas, she is not quite as prolific as PTerry :)
Mustn't grumble though, it's not like Jonathan Strange was a pamphlet!