Which is Hecarim's first "go-to" item

As a Hecarim main,

Or if you're being more serious, pick up an early sheen or phage. Sheen gives you pretty sick burst and helps to alleviate his mana issues, phage is more defensive and makes you stickier.

I like getting sheen first as a jungler and phage as a top-laner.

Sheen is best, since you proc it alot with your Q and empower the E dmg by alot,

Sheen is more burst dmg, phage is roughly equal in dmg with 2 q stacks and gives better combat stats+sticking power.

Depends on opponent.

I almost always get Sheen for the mana and CDR alone, even if it's theoretically inferior in DPS.