My current WiP is the first in a series (FIAS), and it's the first time I've intentionally written that way. As an intern, I read a lot of FIAS books. I've had my share of mulling over the issue recently, and I've come to the following conclusion: the first book in the series must be an entire story arc, and must function independently of whatever else you have planned. It's not the first third of a journey--it's a journey within a journey.
There are four important elements to consider when beginning a series, and they need careful consideration for the FIAS: Story Arcs, Protagonist(s), Ensemble Cast and World-Building.
In a FIAS, you have two story arcs: the primary arc, which details the story in this book. There will be a beginning, a middle and an end for both the plot set up at the start, and the point of character conflict that has been brewing (got that? Arcs are made of plot conflict and character conflict). The secondary arcs stretch for the entire series and linger in the background to varying degrees. You will resolve points of them bit-by-bit, leading to a crescendo in the last book. By the end of FIAS, the reader must be satisfied by the end of these primary arcs. The secondary ones dangle to tantalise.
The most important thing to remember is that the secondary arcs should not overshadow the primary arcs. Book One still has to be drizzled with awesomesauce and served with a side of fuck-yeah if you want anyone to buy the second.
Keep them active When a character is thrown into a new world, it's easy to let them be swept along by exciting events and hot other characters. But don't let them observe from the sidelines or continually be rescued. Don't let them be passive. Secondary characters can be passive, but your protag is special. Special! The first time, yeah, she might stand there in shock. But the second time, she can't help but do something.
Never forget their point of conflict Protags are driven by their plot-lines, but their personalities shape their actions. I see lots of average girls thrown into paranormal worlds, for example, and they can be so dull. How has this girl been shaped by her first kiss, that thing that boy said to her at the prom when nobody was looking, the diary she found in the park and reads obsessively? And how does that shape affect the way she reacts to all these amazing things? Give her personal demons and throw her into the ring with them. She's got to finish this book a different girl to the one she was when she started--and not just because of a boy.
Beware The Chosen One You don't need a prophecy or a destiny to be awesome. Hell, it'd be nice to be the only one without a prophecy. That'd be fresh (and more page-turning). With a prophecy, half the time, you give away the end of the book at the beginning.
You need a strong ensemble cast to carry a series. Yes, they must not overshadow your protags, but equally, your readers have to long to meet them again.
Beware the sausage fest Ensemble casts are often made up mainly of male characters. This doesn't have to be a bad thing--yay, more hot men!--but remember that your female characters will need to work twice as hard to be cool and memorable. Don't let them shoulder all the stereotypical crap; let them shine. And don't let them exist primarily as objects of desire for your male characters--it's far more interesting when not everyone fancies them, or even likes them.
Plan your secondary cast member as you would a protag They have their own background, own journey, own personal demons (perhaps literally!). Now you have to write them with just the tenth of space that a protag gets, but still get a lot of this across--enough to make them interesting. It's an exercise in subtext and the mark of a skilled writer. Get to it!
Don't forget the comic relief I see a lot of depressing books/dark worlds crying out for a sense of humour, and a good secondary character can be the light in the dark. A comic-relief character should have another purpose that is just as important in order to flesh them out.
Do not be over-ambitious with your story arc You are telling this story in this part of your world. The others can wait. Don't visit other parts just to fill in a few chapters, and if you mention other elements in passing as world-building, show me how it's relevant to this book. Everything that I experience as a reader should be well-explained.