If you are surfing small waves and learning; any wave seems to be the one to pick. However, as you gain skill and take on larger waves, there are certainly situations that one completely wants to avoid.
When I was gaining experience as a kid in Hawaii, the Uncles would pull me aside and give me some pointers.
Eh, nevah go fo da first one!
Some people allow frustration to set in and move inside the pack and hope to pick off some small ones. If it is sizable or you are in the Pacific and surfing places prone to getting clean up sets then that is the wrong move.
The other factor is the size of the waves in the sets. The first ones can be breaking a lot further in than the last ones and they can be half the size. You would rather be out further where you can dodge the clean up sets and take off on the bigger ones. Or at least in a position to high tail it towards the channel!
This poor guy went for the first wave and you can see what happens. You can see the other surfers a lot further out and he gets to practice his underwater gymnastics.
So play it smart and save yourself and your board from taking a beating!