Your opening paragraph is important, and your opening sentence should start off with something memorable or attention-grabbing or emotion-catching. It should generate a question in the reader's mind, so that the reader has to read farther to have that little question answered.
Let's look at a couple that I remember. Both are from Ken Follett. His opening line in The Key To Rebecca was The last camel collapsed at noon. From his Pillars Of The Earth: The small boys came early for the hanging. Aren't those great? Each has a hint of danger or intrigue. Each brings up questions in the reader's mind. The first one: camels? the last camel? what about the others? They died? why? and why noon? About the hanging: who? what did he do? a public hanging? children are allowed to watch? Yikes!
The first book was a spy thriller, the second historical fiction. Both had dynamite opening lines. How about romances? You have the same job: engage the reader. My daughter has about a hundred romances on her bookshelf. I went to her room and picked six novels at random. Here are their opening lines:
Karen was going to faint. <— immediate suspense, hint of danger
Chief Warrant Officer David Ryland glanced around the sterile waiting room at Fort Bonnel Medical Center, taking in the crowd of well-wishers gathered around the little boy on the stretcher. <— immediate worry about boy. Question raised: what was wrong with him?
"What do you mean, there's no money in the account?" Adam Mackenzie shouted into his cell phone. <— immediate conflict, tension, problem announced. Question: where did the money go? stolen?
The room held the fetid odor of death, and the babe who sounded his first wail in that hot, stale air waved thin arms and legs in a frantic motion, as though he sensed that his cries might be futile. <— immediate tension: possible dying baby; creepy setting: (odor of death)
"Don't die here," Maria pleaded. <— immediate tension: someone is going to die; protagonist is worried. Question: Who is going to die?
Molly McKaslin felt watched as she sat in her cushioned rocking chair in her cozy little shanty with her favorite book in hand. <—suggestion of dread: woman being watched. Question: is she imagining things? Is she really in danger?
A word about starting with dialogue: Many beginning writers do it. Fewer established writers start with a line of dialogue. (Two of my examples above did.) Many writing coaches advise against it because the reader has no idea of who is speaking and where the dialogue is taking place. The spoken words are coming out of the blue. You can get away with a single line if, like the two examples above, it's an engaging line, and you follow with something that would be captivating. A continuing conversation probably would not be a good idea until you fill in details.
Remember: it's a cliché, but it's true: You don't have a second chance to make a first impression, either to the casual reader or (more important) on the editor who is considering your manuscript for publication.
Your Opening Sentence