As I said before, 'Moby - Dick' with its 'Call me Ishmael' is a great example. Also, 'It was the best of times, it was the worst of times' from 'A Tale of Two Cities' is a very memorable first sentence.
One could consider 'Pride and Prejudice' which starts with 'It is a truth universally acknowledged, that a single man in possession of a good fortune, must be in want of a wife.' This first sentence gives an insight into the society and themes of the novel right from the start. Another is '1984' which begins 'It was a bright cold day in April, and the clocks were striking thirteen.' It creates a sense of unease and a different world from the very first line.
There are many novels with great first sentences. 'The Great Gatsby' starts with 'In my younger and more vulnerable years my father gave me some advice that I've been turning over in my mind ever since.' This line sets up the narrator's perspective and gives a hint of the reflective nature of the story. 'Lolita' has the somewhat controversial first sentence 'Lolita, light of my life, fire of my loins. My sin, my soul.' which immediately makes the reader aware of the complex and somewhat taboo nature of the story to follow.