At first

At first I didn´t realise that I had forgotten my bag. I only became aware of it when I had to pay at the restaurant. 

At first means at the start or initially. 

Firstly, First of all, First

First of all, I´d like to thank Paul Smith for inviting me to give this speech…

First/First of all/Firstly means to begin with and it´s used to enumerate points in a speech or piece of writing.