Really, how do you define "first published story?"
Back in December 2010, an editor saw one of my stories on Critters and asked me to submit a final edit to a Steampunk anthology. It was, in due course, accepted. Realities of publishing being what they are, the pub date has moved several times, most recently to end of this month. The cover art is beautiful, and I think the centerpiece of the cover design bears some resemblance to the Deus Ex Machina in my story. Both my name, and the name of my story, have unfortunately been misspelled in the blog posts about this anthology, but I have high hopes that, once I hold the volume in my hands (yes I did preorder, and I hope you do too), it will, in fact, contain KULTURKAMPF by Anatoly Belilovsky as one of its stories, alongside those by Tanith Lee, Lavie Tidhar and Aliette de Bodard, all writers I admire.
My first sale to see the light of day (or, more likely, light of screen) was CHRESTOMATHY, another steampunk-ish story written as a collection of excerpts from alternate literature - apogrypha, as I understand them. I am really grateful to Ideomancer for giving audience to a very experimental narrative technique - and, looking at comments and reviews, the story finished undisgraced.
My love for punchlines found an appreciative editorial reception by 10Flash and On The Premises, and Tales Of Old did a great job on my straight military history fiction about a little-known aspect of World War II (next time, though, the "e" is not silent in the word "Luftwaffe.") A few more stories are sold and pending publication - one of them, to Nature, got me the SFWA associate membership I have dreamed of for years.
Then, too, there is the Sekrit Project. It's Sekrit. But awesome.