I just finished "Hooked: Write Fiction that Grabs Readers at Page One and Never Lets Them go" I blogged about this yesterday as well. This is a great book, not only for beginnings, but for writing in general.
The point is that if your begining is not good, no one's going to see anything else.
He also interviewed several prominent agents, and editors to find out what they look for in first pages, and what causes them to reject. Very insightful.
I highly recomend this book for anyone who wants to improve their writing, especially their opening. And if you don't want to have the best possible opening then it's unlikely that anyone will read any farther in your story.