What is the first step that triggers a normal cell to progress to a transformed tumor or cancer phenotype?

The first step that triggers a normal cell to progress to a tumor is called initiation. It is an alteration in the DNA caused by chemical, physical and/or biological agents. This alterations is silent, so that initiated cells can't be recognized either morphologically or biochemically (including molecularly). When the initiated cell is "provoked", I mean, obliged to proliferate, the genetical alterations will allow other alterations to happen, forcing the cells to proliferate. A proliferating cell may cumulate further genetic alterations and eventually become a neoplastic cell. 

The first step (trigger) of the multi-stage progression from a normal cell to a metastatic tumor cell is often a mutation (e.g., change in the DNA sequence or deletion) in a critical gene.  A critical gene is described as one that affects or controls the normal cell cycle or aspects of growth or DNA metabolism. The successive steps include additional mutations or epigenetic events.  Non-mutagenic (non-genotoxic) mechanisms can have an epigenetic event as the initial step, i.e., a change in the expression of a critical gene in the absence of a DNA structural change (mutation).  The subsequent changes in the pathway to a metastatic tumor cell are similar to those following an initial mutation.

Whilst genetically mutated with the full bingo card of onogenes acquired by clonal expansion of critial dna damage caused by chemical carcinogens, random mutation (on replication) and radiation and potentially beginning to enter uncontrolled cell expansion to result in a clinically diagnosed tumour there is a supression control mechanism that forces apoptosis and regression and this mechanism is control signalling from a cell community surrouding the prototumour.

Cancer is a multi-factorial, multi-step process. There is no 'The First step" uniform for all cancer onsets, but as rightly mentioned in many of the answers here, genetic mutation in key gene[s] belonging to the pathways of cell proliferation, cell cycle checkpoints, suppression of cell proliferation, even differentiation, cell death, DNA damage repair, telomere attrition, etc. etc. can act as a 'initiator'. Then if the cell is able to stay alive and also proliferate with sustained mutation[s] acquiring all the necessary / sufficient / necessary but not sufficient phenotypes; accumulate new cells [hence the term neoplasia] to reach the size of 1 cubic mm, then clinically presence of tumor can be detected. 
Thus, non-lethal mutations that do not stop the cell from proliferating are the major concern for setting a stage for clinically detectable cancer lesion [poisons are better and predictable, one might be forced to conclude!].
Presence of mutation in a proliferating cell also sets the stage for more mutations making the carcinogenesis process faster.
These initial events are very important to keep in mind before venturing on finding markers for early detection, which generally fail.
I would recommend reading "Cancer Biology" book by Robert Weinberg.

The first event that triggers the acquisition of a malignant phenotype may be any cellular insult that causes a single cell to achieve a non-lethal genomic change, granting it a survival and/or proliferative advantage. Originally, this event can be of either genetic (e.g., a mutational event) or epigenetic nature; nonetheless, this first event must be consolidated as a genetic change that does not kill the cell (non-lethal) and is inherited by the daughter cells upon the division of the initiated cell.

The multistep model of carcinogenesis comprises three successive phases: 1) Initiation; 2) Promotion; and 3) Progression. The very first step that triggers a normal cell to evolve into cancer occurs during the Initiation phase, which is very rapid, taking hours to a couple of days to be established. This also initiates the process called malignant cell transformation (the same as malignant transformation or cell transformation, in the case of eukaryotic cells), which will evolve by the accumulation of other molecular changes in the initiated cells during the long-lasting Promotion phase (years to decades in humans).

If the transformed cells that emerge during Progression succeed in colonizing the local tissue (which requires, for instance, immune evasion), then we have a cancer that will evolve as a growing malignant tumor or as circulating tumor cells (e.g., in the case of leukemias), eventually disseminating throughout the body in one of the different forms of neoplastic dissemination, such as metastasis - when the malignant cells disseminate through a series of events involving the vascular network.

The first stage in carcinogenesis. It is the alteration of genetic material that transforms proto-oncogenes into oncogenes or the inactivation of tumour suppressor genes.

DNA mutations accumulate and undermine cell regulation, resulting in uncontrolled growth. Cancer formation is frequently triggered by the disruption of key genes that govern the cell cycle, DNA repair, and apoptosis.

The very first step of any cell to become cancerous or obtaining a cancer phenotype is mutation in tumor suppressor genes or converting proto- oncogene into oncogene this leads to tumor development.

The first step that triggers a normal cell to progress to a neoplasm is a genetic event 

This process is called oncogenesis whereby normal cells turn into cancer cells. The normal cell genetics changes in a group of cells that cause them to grow and behave abnormally.