Well, "first knife" covers a lot of territory. Do you want a tactical folder, a Swiss Army Knife (SAK), or a fixed blade? And what's your budget like?
So, just for a few examples, you might get a Cold Steel Voyager as a tactical folder that will also do some outdoor work. I really like the 5 inch clip point, which runs around $75.00; that's a decent price and a good blade to start out with.
Any SAK is a good knife, but my personal favorite is the Rucksack. It has a locking main blade, a saw, can and bottle openers, and an awl. This will cover LOTS of outdoor tasks, and be a great blade for general carry as well. Costs about $35.00.
For a fixed blade, you could get a Glock M78 Field Knife for about $35.00 and have a pretty decent fixed blade for wilderness use. It won't chop really well, but it'll do anything else you'd ask a "survival knife" to do. For about $50.00 you could get the new BK&T C/U7, which is a great sheath knife.
Your best bet would be to decide what type of knife you want, and then go to the many on-line knife shops to look over the pics and find one you like. Then, if possible, go to a real knife shop and hold a few blades, and see what feels best in your hand.