EoSD was my first, because for whatever reason I insisted on going in chronological order. I don't recommend this.
On the other hand, if you're playing Touhou for the gameplay, I highly recommend going in chronological order.
1. It's extremely beneficial to get a handle of EoSD's quirks early on, such as the non-visible character hitboxes (which are technically visible but really small), the weird bullet hitboxes (knives, medium bullets, bubble bullets, etc), and the crazy angled bullets.
2. The appearance of bosses as playable characters is better appreciated when playing in order.
3. IN stage 4 is scary and mind-blowing the first time around when you've played the previous games first.
My first 1CC was EoSD Easy on June 16, 2012, followed by a 5-life PCB Normal 1CC on June 24, 2012 (SakuyaA OP), and finally a 3-life EoSD Normal 1CC on July 12, 2012.
Interestingly, the EoSD Normal 1CC was originally planned to be a 5-life 1CC, but I kept failing. I then switched the lives to 3 and somehow pulled off the 1CC. I've stuck with 3-life 1CCs ever since.