Let's start with a very simple statement: Stories thrive on tension and conflict. The more there is, the more the reader pays attention. People like to get involved with stories where even when they know the good guy wins in the end, they can't see the path to get to that place, and they don't know what it will cost our hero to get there. Tension and conflict both create questions in the reader's mind, and they seek answers to them by reading further. So it only makes sense that, as writers, we should install these elements wherever possible.
And on that note, the basic ingredients to any story serve as the best way to create tension and conflict from the get-go. The three Ps of stories - plot, people (characters), and places (setting) - are required parts of any narrative, and if we tweak these around, we can stir things up from square one. Of course, other sources should come along throughout the story, but if we kick things off quickly, we take in the reader early on and they don't put down the story until it's done.
Now, each of the three Ps on their own are not very exciting, though we should always consider how to make them interesting. With the characters, they should have separate interests and drives, and not always be on the same page. Honestly, characters that all think alike are boring. When they have different political, social, or professional perspectives, those can create conflict, and the writer should take the opportunity to have these differences run into each other. Places is a little more difficult since they tend to stay in place, but different kinds of places can evoke different moods and responses, which will be important later. Consider the environment of rural Kansas versus New York City. Both are places where people live, and each actually contains a Manhattan, but that's where the similarities end. And of course, plot - what the story is about. This should have some kind of problem built into it - a story about a young man from Manhattan, Kansas adapting to life in New York City while searching for his birth parents. The unknowns abound.
The real fertile area for tension and conflict, however, comes from where the Ps intersect - when the people and places don't get along, or the character's mission (plot) is obstructed by their location or other people. When our young man from Kansas shows up in New York, every clash of ideals should be brought to the fore. The reader should feel like this was a bad idea for our character and he will be eaten alive. They should be asking themselves if this mission to find his birth parents is really worth it, especially once he meets the kind of people that totally clash with him. Even the struggle to try and work through the bureaucracy of big-city government should feel like a battle. All these clashing interests and environments should be leaving the reader without a moment's peace and wondering just how the main character will survive it all.
Now, the actual story can be whatever the writer wants, and should have its own home brew of conflict and tension. However, find the clashing interests that are there from the first word, that hit the reader quickly, and bring them out as soon as possible. That will set the stage for some exciting storytelling, and create a sense of urgency for the entire story. And that's what the reader wants.