Never watched a James Bond movie, which one should I watch first?

Depends on which actor you want to see first, in which case the ones I'd recommend are:

Sean Connery - From Russia With Love

Roger Moore - For Your Eyes Only

Pearce Brosnan - Goldeneye

Daniel Craig - Casino Royale

George Lazenby only played Bond once, in On Her Majesty's Secret Service, so obviously pickin's are slim with him.

I'd probably start with the Daniel Craig ones, which are closest in sensibility to our modern movie habits.  Some of the more classic Bond films are a little dated stylistically

My favorite is still From Russia With Love.

:Goldfinger"

................

Watch the best one, 

Goldfinger.

I'd watch the Daniel Craig one's first .. in order.

Casino Royale .. Quantum of Solice .. Skyfall .. Spectre.

Start with a more resent one as the older ones all will seem dated.  Any spy movie where they had to run to find a pay phone will seem ancient.  

Why not start with Dr. No. It will set you up fine for the sequels.