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Action Comics #1
This is it, the big bad voodoo daddy of them all, the first appearance of Superman!
As has been detailed a lot during the discussions of the copyright case by Jerry Siegel and DC Comics, this issue ends up adding basically the foundation of the entire Superman character - his basic costume, his identity as Clark Kent, mild-mannered reporter (we even get to see Clark being mild-mannered!), his awkward relationship with fellow reporter, Lois Lane, his basic super powers and his origin as being the last son of a dying world (Krypton had not yet been given a name as of Action Comics #1).
The issue was meant to be a comic strip - so Siegel and Shuster had to cut and paste the strips in a way so as to form a comic book story.
The comic does not ONLY have Superman - it also includes the first appearance of the magician, Zatara, who would later go on to have a more famous daughter named Zatanna. Zatara was created by Fred Guardineer, who wrote and drew the story in this issue.
Otherwise, the pickings are slim in this issue - Sticky-Mitt Stimson, Scoop Scanlon, Pep Morgan, Chuck Dawson and Tex Thomson!
While this had to be the pick, other notable first issues would be Fantastic Four #1, featuring the debut of the Fantastic Four, X-Men #1 (the introduction of Magneto, Cyclops, Professor X, Jean Grey, Beast, Angel and Iceman), Giant-Size X-Men #1 (the debut of Storm, Nightcrawler and Colossus - as well as the formation of the All-New, All-Different X-Men), Incredible Hulk #1 (the debut of the Hulk) and Flash Comics #1 (debut of both the Golden Age Flash AND the Golden Age Hawkman).