In the literal sense, Moses was the first historian; in the academic sense, that honor goes to Herodotus. It's interesting that much of Herodotus' work was interpretive—at a time when historians are consistently called upon to be objective, such a seemingly subjective approach often makes us raise our eyebrows in suspicion. But was Herodotus a traitor to the cause? or was he simply more honest?
The thing about Herodotus is that he always lets his readers know before he embarks on pure speculation or interpretation, whereas many modern historians (most, perhaps?) hide their interpretation in facts and call it objective research. If any more astute academician calls them out, the whole thing generally deteriorates into a semantics game, and what "actually happened" is no more clear than at the beginning.
Most history before the 18th century far more closely resembled Herodotus' approach than that of the contemporary school. The Venerable Bede's Ecclesiastical History of the English People is a classic instance: instead of simply saying this or that happened on English soil, he subjects everything to a Christian perspective, passing judgment on kings, supplying theology where needed, calling people heathens when they deserved it. He wasn't trying to be wholly objective, he was simply recording the story as he understood it.
Which is the most anyone can hope to achieve. Ancient and medieval writers (mostly what you'll find here) knew that to compartmentalize feelings, attitudes, or opinions away from the reconstructive work of historical narrative is impossible, so they plunged into the interpretive task with relish. The result is a body of work that is valid as literature as much as it is valid as history.
Ironically, modern historians are forced to use these "tainted" texts to make their own. They try their best to "extricate the true from the imagined or false," but in the end it's all guesswork for them, unwilling as they are to see it's their method that's faulty, not that of the original writers.
All this isn't to say historians should deliberately obscure the facts, or that there isn't a level of objctivity involved, or that history is no more than an interpretive exercise and nothing of the past can be really known. Far from it. What it is to say is that Caesar's Conquest of Gaul is probably a better document of the period than anything a modern writer could conjure precisely because it shows us what happened from the perspective of a man who was actually there.
In that sense, it is less important "what actually happened" simply because it's virtually impossible to know exactly what transpired, whereas here we have a document that chronicles what transpired within one of the principle players. Not all ancient history is comprised of eyewitness accounts, of course, but even those that aren't are more concerned with the human element than with the precise order of events.
Which is why we study history at all—to help us better understand human nature. The ancients and Medievalists had no concept of a life divided or partitioned; to them, everything was part of everything, and what a man may have thought about the Battle of Cannae was at least as important as how many men died there. These historical accounts, whether personal or universal in scope, aren't ultimately stories about individual people; they're the story of Mankind itself.