TST: implement test_first
cc @MomIsBestFriend there are three things about these tests that I think would make for good (separate) follow-ups if you're interested:

1) They are just begging to be parametrized
2) We don't have a systematic way of naming/organizing tests that are for two specific methods rather than one specific method, which is the idea behind tests.(frame|series).methods.  (see also: head/tail, first_valid_index/last_valid_index)
3) These tests could/should also be shared/parametrized over Series vs DataFrame, but we dont have a systematic home or naming convention for these.
@jbrockmendel I would love to open a PR parameterising these tests.

Choosing a naming convention seems too difficult for me, tbh Thanks @jbrockmendel I think naming the module test_first as you originally did is more consistent. Maybe we could have a test_last.py file which is just a comment that directs the contributor/reader to test_first.py