Of course, figuring out what that most obvious first task is can be tricky. In order to do it well, you need to truly understand why your user might want to use your product. What problem are they trying to solve? What task do they want to accomplish? How do they want to change their lives? What sort of hole are they trying to drill?
Twitter is an excellent example. When you first join, they don’t just tell you to explore Twitter. They have you immediately start following people. This not only introduces you to the concept of following people, but it gives you a nice, low-friction way to start using the product in the manner it’s meant to be used.