Hesiod's Theogony is widely regarded as the most ubiquitous of the Greek "creation myths".1 One of the earlier passages reads
(ll. 116-138) Verily at the first Chaos came to be, but next wide-bosomed Earth, the ever-sure foundations of all the deathless ones who hold the peaks of snowy Olympus, and dim Tartarus in the depth of the wide-pathed Earth, and Eros (Love), fairest among the deathless gods, who unnerves the limbs and overcomes the mind and wise counsels of all gods and all men within them. From Chaos came forth Erebus and black Night; but of Night were born Aether and Day, whom she conceived and bare from union in love with Erebus.
Chaos is sometimes depicted as an entity rather than a deity of some sort - the thing that existed before the universe. If you ascribe personification to it, then it counts as the first being. However, if not, then the so-called primordial gods were first:
- Earth (Gaia)
Aether and Day are also considered by most authors to be two other of the primordial gods, though not created directly from Chaos.
1 There are variations on the idea. For example, Gaius Hyginus, a Roman scholar of Greek mythology, wrote that Chaos was formed from Mist, treating Chaos more as a being and Mist as something similar to Hesiod's depiction of Chaos. Hyginus is also notable for treating Earth as the child of Day and Aether, making the four deities born of Chaos and Caligine (a related but not well described entity) be Night, Day, Erebus, and Aether.