at first （ = at the beginning） ，最初；最早时；起初 （强调时间顺序）

At first I didn't want to go, but I soon changed my mind.

first of all 首先；第一 （强调事物排列顺序） 后面往往接next, then等。例如:

First of all ，you're supposed to indroduce yourself before speaking .

另外，first可以用来修饰动词。如：

  Who came first in the race?

 “Do you want a drink?” “I’ll finish my work first.”