For undergraduate courses your "first day of class" is really an administrative meeting with students that are signed up for your class. Often students are still arranging their schedule for the semester. In this light, the first lecture is an opportunity to get them excited about the course topic and familiarize them with your approach to teaching it.
In my experience, it's a good idea to do something real in the first lecture in any case, to give the students an idea of what your lectures will be like and to give them a taste of the course material. Just keep in mind that anything important that is touched on in the first lecture should be revisited in a subsequent lecture--basically treat it like a bonus lecture that most of your students didn't attend.
In my view, the first session should be used to accomplish the following:
1. Motivate the course topic and your syllabus.
Try to communicate why this course is important and why you are interested in teaching it. Your engagement and enthusiasm can have a strong positive influence on the engagement and learning potential of your students. Whenever possible, take the opportunity to relate the course topic to current events, new approaches/practices, or recent research results.
2. Clarify your expectations for the course.
Don't read information verbatim from the syllabus, but try to quickly sum up what you expect from your students and what their grades will be based on. Here, a little information on yourself as and instructor, and a little friendly advice on how to stay on your good side is often helpful.
3. Highlight any important or unusual requirements for the course.
If your course requires background in another subject, or if past students have had lots of trouble with certain topics, try to give students a heads-up regarding any difficulties they can prepare for.
4. Get a feel for the level of your students and their expectations.
A short quiz or survey can often be helpful as a segue or starting point for a discussion of the course topic in addition to giving you some idea of how familiar your students are with prerequisite material and material to be covered in the course.