Starting a new campaign, creating characters, establishing the setting and getting the players engaged can be one of the more challenging aspects of running a game.
Having already thought about what kinds of games I want to run, the first thing I recommend is to talk to your players about what king of game they want to play. That helps me to narrow down settings, game systems and adventures I'm planning to run.
After reconciling the preferences of the players and GM, and settling on a game system and theme, I make my pitch to the players. Only after the players express strong interest in the game and setting do we schedule character creation.
During character creation I give a fuller description of the setting and the characters' places in it. I guide the players through making characters who will work well within the setting, and within the party. Players new to the game system will benefit greatly from the advice of those more familiar with the rules as to how to build appropriate and effective characters.
The First Session
For the first game session I like to run an events-driven scenario. In an events-driven scenario an external event will occur on its own time-line. The consequences of this event will affect the PCs, but how they react to it is entirely up to them. The consequences of the PCs' actions (or inaction) are what drives the game.
In planning an event-driven scenario, it's important to think about how the event will affect the PCs and those around them. Imagine a time-line of events if the characters do not intervene, and then try to thing of alternative time-lines if the characters perform certain actions at certain points of time. Players can be unpredictable, but planning contingencies helps you to improvise when the PCs do something unexpected.
Building the Campaign
Also, as part of world-building, drop in hooks for possible future adventures. These hooks don't need to be related to the present scenario, but including them provides depth and makes the game world more interesting.
After the first game session, you should begin to pick up on some of the in-game interactions, events and character motivations to flesh out and expand upon. These, along with the aforementioned dropped hooks, can be used to create a campaign that holds the players' interest and grows organically.