What are the pros and cons to having my first duty station be OCONUS?

One of the obvious pro's is being able to travel and explore parts of the world. I spent 3 years in Germany and loved every moment of it. I can't think of any specific Cons to your first duty station being ONCONUS. There is always going to be the typical Military crap to deal with.

Especially for folks who never lived abroad before the military, I think one's leadership skills become more refined if your early duty stations are OCONUS. Living with a different culture in / around garrison helps you prepare better to work with different cultures in hostile situations while deployed.

You gotta be kidding? (Sounds derisive, but I don't mean it so). You've been here your whole life, get out there and see the world. It'll expand your views, your experience, and make you a better leader. Not to mention being fun and fascinating. You'll learn more than you can possibly imagine. My advice is that if you have the choice, OCONUS all the way.