I don't think it really matters what's a 'best' first class..just play whatever interests you.

What *would* help however, is making some good friends or allies in-game who will want to help you out based on good relations. I found the fastest way to learn about the game wasn't to walk around alone, but to join a friendly cabal like the Acolytes (Fortress). More often than not they will teach you things about your class, show you around areas, and the heroes might help with ranking so they can practise their skills at the same time.

As a thief you're either going to be loved or hated. How to find friends in game as a thief? Steal nice shinies and give them as presents to people :p