I like to start my party off immediately after they failed their first quest. Session 1 is explaining the consequences of that failure, what that quest was, and how it went wrong.
For example: “Two towns hold us responsible for the bridge that collapsed in our fight with the troll, who escaped, because we didn’t burn the body. We’re at worst fugitives, and at best in extreme debt. The adventurer’s guild is pissed that we failed, too, and is demanding their cash advance back.”