If .first() and :first are used in the same context to get the same information, example:
Html:
<ul>
<li>One</li>
<li>Two</li>
<li>Three</li>
<li>Four</li>
<li>Five</li>
</ul>
Script:
console.log("1", $('ul li').first().text());
console.log("2", $('ul li:first').text());
.first() is more performant
**
As mentionned by Andrew Moore, .first() is the equivalent of .eq(0).
According to jsperf.com, .eq(0) would be the best, but there is no big difference with .first().
You can see my source, here: http://jsperf.com/first-vs-first-vs-eq-0