The real question is are you going to lure them into a false sense of security, by having the first adventure go super well, until the climax and then take the kid gloves off. Traps in every shadow for the rogue, a half troll for the fighter that will keep on healing unless you cauterize wounds, a Rogue who can evade/uncanny dodge every spell the casters throw. That kind of stuff.
I'm not still upset about the end of my first DnD game, why do you ask?