The First King was a legendary figure who lived during the Dawn Age. According to tradition, he unified the First Men under his rule and led them in their war against the Children of the Forest. At some point in the war, he was killed and buried in the North.
In the books
In the A Song of Ice and Fire novels, the First King is said to have led the First Men across the Arm of Dorne in their migration from Essos to Westeros. According to folklore, his grave is located in the Great Barrow on the outskirts of Barrowton, the seat of House Dustin. The World of Ice and Fire sourcebook revealed that House Dustin, which once ruled the Barrowlands as Barrow Kings, claims descent from the First King himself.
On the other hand, while there are several myths about a first king of the First Men leading his people into Westeros, there are often rival myths in different areas, with various families each attempting to claim that their legendary founder was also the First King: In The Reach, for example, it is claimed that Garth Greenhand (the progenitor of all noble houses in the region) was not only the founder of the Reach, but the leader of all the First Men. The Maesters also debate whether the First Men could even have spread from Dorne up to the North within a single generation, and argue that it must have been a migration spanning many centuries. If this is the case, there may have been one king who led all of the First Men across the land bridge into Westeros, but he would have been succeeded by many later kings. The other possibility is that the First Men weren't even unified under a single ruler when they came to Westeros, but that different sub-groups and clans migrated in waves.
Garth Greenhand · First King · Florian & Jonquil · The Grey King · The Griffin King · Joramun · Lann the Clever
Night King · Night's King & Night's Queen · The Rat Cook · God-on-Earth · The Prince That Was Promised