What programming language should EE's learn first?

I'll say it depends on mostly which direction you want to go :

If you are curious about embedded systems and microcontrollers and 'low level' device access, then you should learn C/C++.

If you are curious about making things with rPi like platforms, go for Python.

If you want to do simulations of large systems/mathematical models/machine learning/Computer Vision, Octave/MatLab can be your first choice.

And don't try to learn assembly. In my opinion, it's a waste of time. It will be only useful if your are writing some device drivers/OS modules. 

I can't imagine an electrical engineering program that doesn't teach some form of assembly language. Although tedious, I think if you are going into embedded systems you should learn it at some point. You may never use it again, but it will give you insight into microprocessors. In fact, I think you should decode assembly language into machine language so that you gain a deep understanding of what these microprocessors are actually doing. The more abstracted you are from the program, the less you actually understand what it is doing.

Edit:

In many 8051 based microcontrollers, of which there are still new designs created, there is a watchdog timer. The job of the watchdog timer is to reset the system if a certain time has passed. This timer allows systems that have locked up to reset themselves. If too many variables are declared before the main function can be reached, the system you are programming will reset indefinitely. This is because the watchdog timer is on by default on boot and must be disabled if you want to turn it off. The only way to shut that watchdog timer off before reaching main is by making an assembly file (usually startup.a51) that disables the watchdog timer before the system initializes.

Michael Wylie wrote:

 

I can't imagine an electrical engineering program that doesn't teach some form of assembly language. Although tedious, I think if you are going into embedded systems you should learn it at some point. You may never use it again, but it will give you insight into microprocessors. In fact, I think you should decode assembly language into machine language so that you gain a deep understanding of what these microprocessors are actually doing. The more abstracted you are from the program, the less you actually understand what it is doing.

I get the impression that if you want to do ASM, you go to EE rather than CS.  When I was an undergrad it was considered important for a CS major to master assembly language as a fundamental part of the science.  However, years later it seemed that CS no longer had faculty who were themselves masters of ASM, and the subject atrophied in CS and it was up to EEs to fill the gap.

Regarding ASM versus machine language: some ASMs have nice, clean machine-language codings and it can be beneficial to read octal/hex dumps.  Then there's ARM...

May be you are correct. But from my personal experience, it's a little different. I learned assembly for 8051 and 8085. But now I'm using completely different platforms like AVRs, MSPxxx, ARM for my projects. And mostly i don't have to write anything in ASM. But when I have to write, I can grab their datasheets and application notes and mostly can figure out what to do without diving deep into their ASM codes.

Definitely I agree with you that learning ASM can give you a better insight of how machines work. But given the context, I cannot recommend anyone to learn ASM as their first language. And also, when I was in learning 8051 asm, I was under the assumption that that is the only asm and I can use it universally much like C. But when I started seeing 8085, it's a little different. When I saw AVR a little more different. And with the ARMs that I'm working now, a lot more different. May be this kind of misunderstandings can happen to other newbies also. So I just tried to avoid that.

May be you are correct. But from my personal experience, it's a little different. I learned assembly for 8051 and 8085. But now I'm using completely different platforms like AVRs, MSPxxx, ARM for my projects. And mostly i don't have to write anything in ASM. But when I have to write, I can grab their datasheets and application notes and mostly can figure out what to do without diving deep into their ASM codes.

Definitely I agree with you that learning ASM can give you a better insight of how machines work. But given the context, I cannot recommend anyone to learn ASM as their first language. And also, when I was in learning 8051 asm, I was under the assumption that that is the only asm and I can use it universally much like C. But when I started seeing 8085, it's a little different. When I saw AVR a little more different. And with the ARMs that I'm working now, a lot more different. May be this kind of misunderstandings can happen to other newbies also. So I just tried to avoid that.