The First World is so called because it is believed to be the gods' first draft of a subsequent plane that would later split into the Material Plane and the Shadow Plane. It is coterminous with the Material Plane and the Shadow Plane, but exists outside the standard cosmology, being somehow "behind" the other two planes.
The Material Plane was created by primordial gods as a complex receptacle and testing ground for souls, as part of a larger process to distribute positive energy between gods and planes of the Outer Sphere. The First World is a predecessor of the Material Plane, created as a first attempt at a Material Plane and then directly overwritten by the plane as it exists today.
Connections to Golarion
Travel to and from the First World is generally accomplished via magic that only works in places where the boundaries between the planes are thin. On Golarion, these are generally wild places far from civilization, often marked by mounds, stones, or rings of earth or mushrooms. One such connection exists in the Lands of the Linnorm Kings, which explains that region's large fey population. The so-called Forestheart rift is in the depths of the Grungir Forest. Another breach into the First World exists just outside the Thuvian city of Lamasara, in the deep forest near the Junira River. The Anvanory family had legally owned the land around the breach, and cut many trees when building their manor house and fields. The veil to the fey realm is also said to be especially thin in the Stolen Lands region bordering the River Kingdoms, Brevoy and Numeria.
The First World is home to all manner of strange creatures, apparently prototype versions of the plants and animals of the Material Plane, although its chief inhabitants are the fey. The most powerful are the eight (formerly nine) creatures known as the Eldest and their fearsome living weapons, the Tane.
Some of the other races found on the Material Plane also have counterparts in the First World. It is widely accepted that gnomes migrated to Golarion from the First World during the Age of Anguish, but some gnomes did not make the trip and are still here. Linnorms roam the First World, and claim that the Material Plane’s dragons are the descendants of linnorms who crossed over in the distant past.
However, what all the natives of the First World have in common is that (barring extreme circumstances, such as the intervention of powerful magic) they do not die when on that plane. Those who are “killed” reform in time from the substance of the plane. This discourages them from visiting other planes—since they do not reform outside the First World, but are also not eligible for any form of afterlife—and can also make them somewhat reckless when it comes to lives in the First World (including the lives of visitors, which can have tragic consequences).
The inhabitants of the First World have souls, but are of little interest to the gods. They also have little interest in the gods either. A few of the First World's inhabitants might live in the First World to avoid the wrath of an offended deity. Visitors from other planes sometimes report they feel disconnected from their gods. Divine magic still works, however—although whether this is solely due to the faith or will of the spellcaster, or because the gods have not completely abandoned the First World, is a matter of conjecture.