My first ever knitting project was a scarf (shocking, I know). I made a simple garter stitch scarf. There is a reason, of course, why this is the first project that every knitter tries their hand at. The only skills that one needs to know in order to make it are:
garter stitch/the knit stitch
Seriously it is the best project to start with to familiarize yourself with the very basics of knitting. To make it a little more challenging you could add stripes to it to practice changing yarns. One mistake I made as a beginner knitter, was making several of these scarves as gifts for everyone I knew. This makes a great first project, however one is enough. After you have made one of these it's time to try something different to add to your skill set.
I'm curious what everyone else starts with as their first project. If your reading this I would love to hear about your first knitting projects in the comments!