It can be anything really, like for me, The first thing I will do is go to Grove Street and Visit CJ's hood just to take in the memories from San Andreas.
What about the Community I wonder? Please comment below on what would be the first thing you will do in GTA V?
Edit : I don't mean buying and installing in your HDD, like after the first mission where you could Free Roam
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The first thing I did was walk up to the first fat chick I saw and knocked her the -blam!- out. Then repeatedly stomped on her dead corpse.