Establish your setting early on. Give us The When, The Where, The Weather — the overall tone. Is your story happy, soft, somber?
John Steinbeck does this so well in the beautiful opening of Of Mice and Men:
A few miles south of Soledad, the Salinas River drops in close to the hillside bank and runs deep and green. The water is warm too, for it has slipped twinkling over the yellow sands in the sunlight before reaching the narrow pool. On one side of the river the golden foothill slopes curve up to the strong and rocky Gabilan Mountains, but on the valley side the water is lined with trees — willows fresh and green with every spring, carrying in their lower leaf junctures the debris of the winter’s flooding; and sycamores with mottled, white, recumbent limbs and branches that arch over the pool. On the sandy bank under the trees the leaves lie deep and so crisp that a lizard makes a great skittering if he runs among them. Rabbits come out of the brush to sit on the sand in the evening, and the damp flats are covered with the night tracks of ‘coons, and with the spreadpads of dogs from the ranches, and with the split-wedge tracks of deer that come to drink in the dark.
In the beginning, let us also see your main characters — or, at the very least, let us glimpse them, or hear about them in an intriguing way. For example:
“But at the last moment, she left him for a man no one knew, a dark-horse from nobody knew where, a man of great strength and strange habits…”
“See the child. He is pale and thin, he wears a thin and ragged linen shirt.”
In the beginning, show us your characters in the face of some adversity. (“Plots stem from characters under adversity,” wrote Crawford Kilian.) Show us your characters struggling.
Remember always: the greater the struggle, the better the plot.
Early on, differentiate for us the protagonist from the antagonist. Let us know in whom we’re to be emotionally invested. Which character is good? Which bad? For example:
“The man in black fled across the desert, and the gunslinger followed.”
Your hero — even if she’s an antihero — must be someone with whom we can identify, at least on some level. There must be good qualities in your protagonist, or qualities with which we can relate.
Conversely, your antagonist, who can indeed be remarkable and even admirable, must in some way be pitted against your protagonist. (A la Javert.)
In the beginning, give us a hint of your story’s Situation. Show us something of the nature of the struggle that is to come. Let us glimpse what’s at stake — as Nabokov does in the following excerpt, which is from the beginning of his book Laughter in the Dark:
Once upon a time there lived in Berlin, Germany, a man called Albinus. He was rich, respectable, happy; one day he abandoned his wife for the sake of a youthful mistress; he loved; was not loved; and his life ended in disaster.
This is the whole of the story and we might have left it at that had there not been profit and pleasure in the telling.
Finally, if your protagonist bleeds badly in the last chapter, have him cut himself in the beginning of your story. This is called foreshadowing.
Foreshadowing is effective and poetic.
Lastly, don’t feel as if you need to cram all this into your beginning. Think of it as a way to structure your beginning, so that it flows and gives you a method by which you tell your story.