President George Washington delivered the first State of the Union on Jan. 8, 1790. There were many, many differences in this presidential address than what we'd now think of as the annual address. First, at under 1,100 words, it was far shorter than the speeches given now. Second, the remarks were given in New York City, where Congress was then seated.
The president is required under the Constitution to "from time to time" update Congress on the "State of the Union." Washington knew he had to be careful to come off as dignified, respectful, and generally sane. If he strayed from a friendly, diplomatic tone, his political enemies could use it against him.
The speech starts by congratulating Congress on the accession of North Carolina to the country. That state had refused to accept the Constitution in July 1788 because of the absence of a component guaranteeing citizens certain rights. The Constitution needed only 11 of 13 states to approve it, though, so North Carolina became the odd man out. Congress ended up passing the Bill of Rights immediately, so the state dropped its opposition.
Washington then stated the need for a regular army, instead of the impromptu militia structure that formed the American troops during the War of Independence. He noted that foreign affairs were an important part of the responsibilities of Congress and that it should consider issues like immigration, creating a postal system, and even establishing standards for weights and measures.
For more on the first SOTU, check out this article from Mount Vernon, Washington's old estate. You can read the speech here.