So, how do you start writing that very first paragraph of your story? How do you even begin the first sentence? And, how do you make it pop? For me, like when I'm developing the structure of my story, I prefer to begin with the setting. Where is my story going to begin, and what area will allow me to advance from point a to point b in my book? These questions aid me greatly when I'm beginning a new story. Since I'm wanting to focus on the setting first, though, I concentrate on imagery, which is essentially visually descriptive language. A more formal definition, which I received in my tenth grade English class, is, "the use of language to evoke a picture or a concrete sensation of a person, thing, place or experience."
Why is this important when wanting to catch the attention of your audience? Well, it makes the paragraph more realistic; it helps the reader to place themselves in the situation and surround themselves with the words on the page. You want the reader to experience at least one or all five senses so that the paragraph and first sentence really come alive and grab their attention. And, each sense has its own brand of imagery: auditory (sound), gustatory (taste), kinesthetic (touch), olfactory (smell) and visual (sight). For example if your setting is a forest, you can discuss the sound of the birds in the trees, the taste of the moisture in the air, the feeling of the bark of the trees, the smell of the flora or rain and/or the sight of everything in the woods. In my experience, the first four help to develop the picture or visual of it all, and multiple forms of imagery can be occurring in one sentence.
Another important feature for this is to ensure that you take advantage of synonyms for words. If you don't know a synonym, look up the word and see what other options come up. For example, you don't want the first sentence to be, "Walking down the sand-covered shore, feet walked upon jagged stones." The word "walking" is mentioned twice, and it lacks impact that another verb would have because of this. Instead, a better option would be, "Walking down the sand-covered shore, feet stepped upon jagged stones." It gives the sentence variety and doesn't repeat the same word, which can grow old after awhile.
Additionally, adjectives are useful too in this regard. They aid with imagery and create a clearer image of what you're describing. If you're writing a scene on the beach, discuss the temperature of the water or other qualities. Is it warm like bath water or freezing? Does the character's feet sink into the sand, or does the sand feel rough and grainy? Now, this doesn't mean that you have to state every single facet of the area to the reader; you can leave some of it to interpretation, especially if you're wishing to stir up suspense. For example, you can describe the shadows on the wall and how they're moving, or you can mention the sounds in the setting while not giving away what the character is viewing.
These are just some pointers in writing a setting-based opening paragraph. And, starting out with dialogue or a combination of the two is perfectly fine too. This is just my preference when I begin my stories. Anyway, I hope that this helps!